[HTML][HTML] Value-at-Risk Based on Time-Varying Risk Tolerance Level
D Majumder - Theoretical Economics Letters, 2018 - scirp.org
The conventional judgement-based method for fixing the risk tolerance level in the Value-at-
Risk (VaR) model might be a suboptimal method, because the procedure induces the …
Risk (VaR) model might be a suboptimal method, because the procedure induces the …
[PDF][PDF] Proposing Model Based Risk Tolerance Level for Value-at-Risk—Is It a Better Alternative to BASEL's Rule Based Strategy
D Majumder - Journal of Contemporary Management, 2016 - scholar.archive.org
Since the mid-1990s, BASEL committee of banking supervision sequentially published its
guidelines for market risk management for commercial banks, recommending therein rule …
guidelines for market risk management for commercial banks, recommending therein rule …
[PDF][PDF] Value at risk models of the US stock market for US and foreign investors
SA Azar - International Review of Applied Financial Issues and …, 2010 - academia.edu
The purpose of this paper is to estimate Value-at-Risks (VaRs) for the S&P 500 stock market
index for US and international investors. The S&P 500 is notoriously a major source of risk …
index for US and international investors. The S&P 500 is notoriously a major source of risk …
Value at Risk: A Standard Tool in Measuring Risk: A Quantitative Study on Stock Portfolio
H Ofe, P Okah - 2011 - diva-portal.org
The role of risk management has gained momentum in recent years most notably after the
recent financial crisis. This thesis uses a quantitative approach to evaluate the theory of …
recent financial crisis. This thesis uses a quantitative approach to evaluate the theory of …