price and loss risk of JKII as an index of Islamic stock prices in Indonesia. This study extends the previous literature to …This study aimed to predict the JKII (Jakarta Islamic Index) price as a price index of sharia stocks and predict the … loss risk. This study uses geometric Brownian motion (GBM) and Value at Risk (VaR; with the Monte Carlo Simulation approach …

benchmarks use the lower partial moment as a risk measure. The lower partial moment, however, doesn’t entirely describe the panic … tool is needed. Developed by Peter Martin in 1987, the Ulcer Index measures the human stress of holding a stock. Ulcer … Index is a volatility measure that only captures continuous downside movements in share price, and ignores upside volatility …

in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density …

classical risk measures for the S&P500 Index. Delivering good results both at short and long time horizons, the proposed option …The forward-looking nature of option market data allows one to derive economically-based and model-free risk measures …-implied risk metrics emerge as a convenient alternative to the existing risk measures …