Similar Search Results

Value at Risk (VaR) historical approach : could it be more historical and representative of the real financial risk environment?

Vasileiou, Evangelos - In: Theoretical economics letters 7 (2017) 4, pp. 951-974

Persistent link: https://www.econbiz.de/10011707420

Value at Risk (VaR) Historical Approach : Could It Be More Historical and Representative of the Real Financial Risk Environment?

Vasileiou, Evangelos - 2017

The purpose of this paper is to suggest a new approach that improves the conventional Historical Value-at-Risk (HVaR) estimations' accuracy and can be easily applied by anyone. The main assumption for the newly suggested method is “the more representative to the financial conditions the data...

Persistent link: https://www.econbiz.de/10012954976

What do the value-at-risk measure and the respective legislative framework really offer to financial stability? : critical views and pro-cyclicality

Vasileiou, Evangelos; Pantos, Themistoclis - In: European journal of economics and economic policies : … 17 (2020) 1, pp. 39-60

Persistent link: https://www.econbiz.de/10012258050

Does the value-at-risk legal framework lead to inaccurate and procyclical risk estimations? : empirical evidence from the eu countries

Vasileiou, Evangelos; Theodoros, Syriopoulos; … - In: The journal of prediction markets 16 (2022) 1, pp. 95-121

Persistent link: https://www.econbiz.de/10014289727