risk. Risk and return are generally considered two positively correlated sizes, during the growth of risk it is expected … increase of return to compensate the higher risk. The quantification of risk in the capital market represents the current topic … assets. Three main Value at Risk (VaR) methodologies are decribed and explained in detail: historical method, parametric …

Purpose Value at risk (VaR) is a market risk measure widely used by risk managers and market regulatory authorities …, and various methods are proposed in the literature for its estimation. However, limited studies discuss its distribution …