In this article we present a theoretical review of the existing literature on Value at Risk (VaR)
specifically focussing on the development of new approaches for its estimation. We effect a …

Value-at-Risk (VaR) is used to analyze the market downside risk associated with
investments in six key individual assets including four precious metals, oil and the S&P 500 …

The experience of past financial market turmoil suggests that in addition to eroding investor
wealth, the severe consequences of rare extreme market events can spillover and impair the …

Purpose–The purpose of this paper is to focus on the performance of three alternative value‐
at‐risk (VaR) models to provide suitable estimates for measuring and forecasting market …

This paper examines whether the comparison of value-at-risk (VaR) models depends on the
loss function used for such a purpose. We show a detailed comparison for several VaR …

Numerous advances in the modeling techniques of value-at-risk (VaR) have provided
financial institutions with a wide range of market risk approaches. However, which model to …

Trading algorithms adopt automated risk management systems in order to mitigate against
market risk and extreme market events. These systems are aimed at reducing potential …

Threshold methods, based on fitting a stochastic model to the excesses over a threshold,
were developed under the acronym POT (peaks over threshold). To eliminate the tendency …

This article examines the left-tail behaviour of returns on stocks in Southeastern Europe
(SEE). We apply conditional extreme value theory (EVT) approach on daily returns of six …

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 …