Measuring Value at Risk for Kijang Emas Investment using Historical Simulation Approach
نویسندگان
چکیده
منابع مشابه
A News-Based Approach for Computing Historical Value-at-Risk
Within the field of finance, Value-at-Risk (VaR) is a widely adopted tool to assess portfolio risk. When calculating VaR based on historical stock return data, the data could be sensitive to outliers caused by seldom occurring news events in the sampled period. Using a data set of news events, of which the irregular events are identified using a Poisson distribution, we research whether the VaR...
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متن کاملA news event-driven approach for the historical value at risk method
Value at Risk (VaR) is a tool widely used in financial applications to assess portfolio risk. The historical stock return data used in calculating VaR may be sensitive to rare news events that occur during the sampled period and cause trend disruptions. Therefore, in this paper, we measure the effects of various news events on stock prices. Subsequently, we identify irregular events using a Poi...
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ژورنال
عنوان ژورنال: International Journal of Academic Research in Business and Social Sciences
سال: 2019
ISSN: 2222-6990
DOI: 10.6007/ijarbss/v9-i9/7003