An important question for corporate finance officers is whether risk management systems, such as Value at Risk (VaR), currently are producing accurate results. In contrast to previous research on assessing the accuracy of risk systems or VaR, which has focused on backtesting a large sample of historical observations, we provide tools for real-time assessment, using a time window that varies ada...

The heavy tailed distributions have mostly been used for modeling the financial data. The kappa distribution has higher peak and heavier tail than the normal distribution. In this paper, we consider the estimation of the three unknown parameters of a Kappa distribution for evaluating the value at risk measure. The value at risk (VaR) as a quantile of a distribution is one of the import...

one of known methods for measuring, forecasting and managing risk is value at risk, which recently has been used by financial institutions extensively. value at risk (var) is a method for recognizing and evaluating risk and uses standard statistical techniques that have daily using in other contexts. this research is seeking a career for managing investment risk in stock exchange and selection ...

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 financial firms. the study of multiple measures of risk, var measure with a new approach provides the ground for calculation of market risk. common approaches to risk measurement due to complicated, nonlinear and changi...

An investigation of the limiting behavior of a risk capital allocation rule based on the Conditional Tail Expectation (CTE) risk measure is carried out. More specifically, with the help of general notions of Extreme Value Theory (EVT), the aforementioned risk capital allocation is shown to be asymptotically proportional to the corresponding Value-at-Risk (VaR) risk measure. The existing methodo...

Ait-Sahalia and Lo (2000) and Panigirtzoglou and Skiadopoulos (2004) have argued that Economic VaR (E-VaR), calculated under the option market implied risk neutral density is a more relevant measure of risk than historically based VaR. As industry practice requires VaR at high confidence level of 99%, we propose Extreme Economic Value at Risk (EE-VaR) as a new risk measure, based on the General...

Recent literature has investigated the risk aggregation of a portfolio X = (Xi)1≤i≤n under the sole assumption that the marginal distributions of the risks Xi are specified but not their dependence structure. There exists a range of possible values for any risk measure of S = ∑n i=1Xi and the dependence uncertainty spread, as measured by the difference between the upper bound and the lower boun...