Financial asset returns are known to be conditionally heteroskedastic and generally non-
normally distributed, fat-tailed and often skewed. These features must be taken into account …

This paper compares the performance of the different models used to estimate portfolio
value-at-risk (VaR) in the BRICS economies. Portfolio VaR is estimated with three different …

Financial companies are constantly exposed to the dangers of risk. In the last few years for
various reasons, measuring value at risk (VaR) has become increasingly important for …

Analyzing the risk and return for the S&P Currency Index Arbitrage and the Merk Absolute
Return Currency Fund, this study intends to find whether currency asset classes are …

During recent decade and after considering risk management consist of financial asset,
criteria for evaluating risk based on probability that we can call it value at Risk is so …