Relevant bibliographies by topics / Value at risk

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  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Academic literature on the topic 'Value at risk'

Author: Grafiati
Published: 4 June 2021
Last updated: 25 July 2025

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Journal articles on the topic "Value at risk"

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Zelinková, Kateřina, and Aleš Kresta. "DETERMINATION OF VALUE AT RISK AND CONDITIONAL VALUE AT RISK BY ASSUMING ELLIPTICAL DISTRIBITION." Acta academica karviniensia 16, no. 2 (2016): 95–105. http://dx.doi.org/10.25142/aak.2016.017.

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Park, Juyeun, Eunjoo Choi, and Kihun Han. "The Effect of Hair Beauty Shop Customers' Perception of General Risks and Beauty Shop Risks on Consumer Sentiment." J-Institute 8, no. 1 (2023): 43–55. http://dx.doi.org/10.22471/value.2023.8.1.43.

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Purpose: As the COVID-19 pandemic began, the concepts that have been used in Korean society are “With Corona” and “Post Corona.” In Korea, social distancing and mask wearing were mostly lifted, but the sense of crisis did not disappear. As consumer sentiment shrank, productivity decreased, and the entire industry was af-fected, the beauty industry (mainly face-to-face services) is also subject to many negative effects. Consumer sen-timent appears irrational and rationally regulates consumption habits. The general risk perception and beauty shop risk perception of COVID-19 were set as factors t
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Stuchlíková, Zuzana. "Value-at-Risk and Dynamic Risk Measures." Acta Oeconomica Pragensia 13, no. 1 (2005): 63–68. http://dx.doi.org/10.18267/j.aop.137.

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Longia, François M. "Value at Risk and Extreme Values." IFAC Proceedings Volumes 31, no. 16 (1998): 45–49. http://dx.doi.org/10.1016/s1474-6670(17)40457-5.

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Misankova, Maria, and Erika Spuchlakova. "Application of conditional value at risk for credit risk optimization." New Trends and Issues Proceedings on Humanities and Social Sciences 3, no. 4 (2017): 146–52. http://dx.doi.org/10.18844/gjhss.v3i4.1540.

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Angelidis, Timotheos, and Alexandros Benos. "Value-at-Risk for Greek Stocks." Multinational Finance Journal 12, no. 1/2 (2008): 67–104. http://dx.doi.org/10.17578/12-1/2-4.

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Mangiero, Susan M. "Risk2: Measuring the Risk in Value at Risk." CFA Digest 27, no. 3 (1997): 68–69. http://dx.doi.org/10.2469/dig.v27.n3.125.

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Jorion, Philippe. "Risk2: Measuring the Risk in Value at Risk." Financial Analysts Journal 52, no. 6 (1996): 47–56. http://dx.doi.org/10.2469/faj.v52.n6.2039.

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von Balduin, Alexander. "Was ist der„Value at Risk”?" RISKNEWS 1, no. 2 (2004): 50–51. http://dx.doi.org/10.1002/risk.200490034.

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Hwang, Jaehak. "Climate Value at Risk of Korean corporations." Journal of Market Economy 51, no. 3 (2022): 57–84. http://dx.doi.org/10.38162/jome.51.3.3.

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Dissertations / Theses on the topic "Value at risk"

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Tran, Manh. "Value-at-risk estimates." Thesis, Aston University, 2018. http://publications.aston.ac.uk/37813/.

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This thesis consists of three empirical essays on the Value-at-Risk (VaR) estimates. The first empirical study (Chapter 2) evaluates the performance of bank VaRs. The second empirical study (Chapter 3) investigates the predictive power of various VaR models using bank data. The third empirical study (Chapter 4) explores VaR estimates with high-frequency data. The first study examines the performance of VaR estimates at seven international banks from 2001 to 2012. Using statistical tests, we find that bank VaRs were conservatively estimated in pre-crisis and post-crisis periods. During financia
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Novák, Martin. "Value at Risk models for Energy Risk Management." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-71889.

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The main focus of this thesis lies on description of Risk Management in context of Energy Trading. The paper will predominantly discuss Value at Risk and its modifications as a main overall indicator of Energy Risk.
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Heidrich, Matthias [Verfasser]. "Conditional Value-at-Risk Optimization for Credit Risk Using Asset Value Models / Matthias Heidrich." München : Verlag Dr. Hut, 2012. http://d-nb.info/1020299681/34.

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Hager, Peter. "Corporate Risk Management : Cash Flow at Risk und Value at Risk /." Frankfurt am Main : Bankakademie-Verl, 2004. http://www.gbv.de/dms/zbw/378196367.pdf.

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Samiei, Saeid. "Studies in value-at-risk." Thesis, Cardiff University, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.273586.

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CARVALHO, RENATO RANGEL LEAL DE. "EXTREME VALUE THEORY: VALUE AT RISK FOR FIXED-INCOME ASSETS." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2006. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=8245@1.

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CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICO<br>A partir da década de 90, a metodologia Value at Risk (VaR) se difundiu pelo mundo, tanto em instituições financeiras quanto em não financeiras, como uma boa prática de mensuração de riscos. Em geral, abordagens paramétricas são muito utilizadas pelo mercado, apesar de freqüentemente não levarem em conta uma característica muito encontrada nas distribuições dos retornos de ativos financeiros: a presença de caudas pesadas. Uma abordagem baseada na Teoria dos Valores Extremos (TVE) é uma boa solução quando se deseja modelar
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PIRES, GUSTAVO LOURENÇO GOMES. "EXTREME VALUE THEORY: VALUE AT RISK FOR VARIABLE-INCOME ASSETS." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2008. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=11850@1.

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COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR<br>A partir da década de 90, a metodologia de Valor em Risco (VaR) se difundiu pelo mundo, tanto em instituições financeiras quanto em não financeiras, como uma boa prática de mensuração de riscos. Um dos fatos estilizados mais pronunciados acerca das distribuições de retornos financeiros diz respeito à presença de caudas pesadas. Isso torna os modelos paramétricos tradicionais de cálculo de Valor em Risco (VaR) inadequados para a estimação de VaR de baixas probabilidades, dado que estes se baseiam na hipótese de normalidade para as
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Sampid, Marius Galabe. "Refining Value-at-Risk estimates : an extreme value theory approach." Thesis, University of Essex, 2018. http://repository.essex.ac.uk/22776/.

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This thesis proposes new approaches to Value-at-Risk estimation using (1) Multivariate GARCH Dynamic Conditional Correlation volatility model with skewed Student’s-t distributions, (2) Bayesian GARCH model with Student’s-t distribution, and (3) Bayesian Markov-Switching GJR-GARCH model with skewed Student’s-t distributions, incorporating copula functions and extreme value theory. A new approach for selecting a proper threshold in the Peaks Over Threshold method for extreme value theory analysis called the hybrid method is also proposed. The proposed Value-at-Risk models are compared to the tra
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Karlsson, Malin, and Jonna Flodman. "Value at Risk : A comparison of Value at Risk models during the 2007/2008 financial crisis." Thesis, Örebro universitet, Handelshögskolan vid Örebro universitet, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-16023.

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The financial crisis of 2007/2008 brought about a debate concerning the quality of risk management models, such as Value at Risk (VaR) models. Several studies have tried to make conclusions about multiple VaR models in periods around the crisis. The conclusions differ, but the Extreme Value Theory (EVT) is considered to be a good prediction model in times of unstable financial markets.  In this thesis, the VaR for six financial instruments; the OMXS 30, the OMX Stockholm Financials PI, the OMX Stockholm Materials PI and the currencies USD/SEK, GBP/SEK and EUR/SEK are estimated with the Histori
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Weisner, Torben. "Value-at-Risk and Extreme Events." Thesis, Uppsala University, Department of Mathematics, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-130471.

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<p>The purpose of this thesis is to test the risk-measure Value-at-Riskand techniques for calculating it on data from the Financial Crisis of2007–2010. Different “pre-Financial Crisis” approaches to calculatingValue-at-Risk are considered, and tested on data from the period ofthe Financial Crisis. Also combinations of different approaches aretested.</p><p>Estimation of Value-at-Risk is done using the two different frame-works: Historical simulation (regular and the Hybrid approach) andparametric (conditional heteroscedastic) models.</p><p>The conditional heteroscedastic models considered are t
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Books on the topic "Value at risk"

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Rogers, Jamie. Strategy, Value and Risk. Palgrave Macmillan UK, 2009. http://dx.doi.org/10.1057/9780230353930.

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Rogers, Jamie. Strategy, Value and Risk. Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-21978-9.

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Rogers, Jamie. Strategy, Value and Risk. Palgrave Macmillan UK, 2013. http://dx.doi.org/10.1057/9780230392687.

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Wong, Max C. Y., ed. Bubble Value at Risk. John Wiley & Sons, Inc., 2012. http://dx.doi.org/10.1002/9781119198925.

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Best, Philip. Implementing Value at Risk. John Wiley & Sons, Ltd, 1998. http://dx.doi.org/10.1002/0470013303.

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Dallas, Michael, ed. Value and Risk Management. Blackwell Publishing Ltd, 2006. http://dx.doi.org/10.1002/9780470759448.

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Inc, ebrary, ed. Derivatives, risk management & value. World Scientific, 2010.

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Dallas, Michael. Value and Risk Management. John Wiley & Sons, Ltd., 2007.

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K, Bansal Vipul, ed. Measuring market risk with value at risk. John Wiley, 2001.

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Dempster, M. A. H. 1938-, ed. Risk management: Value at risk and beyond. Cambridge University Press, 2002.

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Book chapters on the topic "Value at risk"

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Rabinowicz, Wlodek. "Incommensurability Meets Risk." In Value Incommensurability. Routledge, 2021. http://dx.doi.org/10.4324/9781003148012-15.

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Rogers, Jamie. "Risk." In Strategy, Value and Risk. Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-21978-9_3.

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Rogers, Jamie. "Risk." In Strategy, Value and Risk. Palgrave Macmillan UK, 2013. http://dx.doi.org/10.1057/9780230392687_4.

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Rogers, Jamie. "Value." In Strategy, Value and Risk. Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-21978-9_2.

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Rogers, Jamie. "Value." In Strategy, Value and Risk. Palgrave Macmillan UK, 2013. http://dx.doi.org/10.1057/9780230392687_3.

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Lee, Hongmu. "Value at Risk." In Risk Management. Springer Singapore, 2021. http://dx.doi.org/10.1007/978-981-16-3468-0_7.

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Qingyi, Su. "GVC Risk Measurement." In Global Value Chains. Routledge, 2023. http://dx.doi.org/10.4324/9781032670225-4.

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Rogers, Jamie. "Investment Risk." In Strategy, Value and Risk. Palgrave Macmillan UK, 2009. http://dx.doi.org/10.1057/9780230353930_4.

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Rogers, Jamie. "Risk Management." In Strategy, Value and Risk. Palgrave Macmillan UK, 2009. http://dx.doi.org/10.1057/9780230353930_9.

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Broll, Udo, and Jack E. Wahl. "Value at Risk." In Risikomanagement im Unternehmen. Springer Fachmedien Wiesbaden, 2012. http://dx.doi.org/10.1007/978-3-8349-4047-6_4.

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Conference papers on the topic "Value at risk"

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Alvarado, Greg, Lynne Kaley, and Ricardo R. Valbuena. "Risk Based Inspection Demonstrating Value." In CORROSION 1999. NACE International, 1999. https://doi.org/10.5006/c1999-99388.

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Abstract Tougher environmental and safety regulations and cost cutting are forcing refiners and petrochemical companies to search for new tools to manage the integrity of aging equipment. A Risk Based approach to equipment management can be used to quantify and compare the relative cost benefits of inspection practices and policies. In the refining and petrochemical industries, the use of risk analysis as a decision-making tool is gaining industry acceptance. Currently, the American Petroleum Institute (API) is developing a recommended practice for the use of Risk Based Inspection methodology.
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Ni, Xinyi, and Lifeng Lai. "Robust Risk-Sensitive Reinforcement Learning with Conditional Value-at-Risk." In 2024 IEEE Information Theory Workshop (ITW). IEEE, 2024. https://doi.org/10.1109/itw61385.2024.10806953.

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Nowosielski, Ryan. "Managing Value Stream Risk." In General Aviation Technology Conference & Exhibition. SAE International, 2006. http://dx.doi.org/10.4271/2006-01-2389.

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Dash, Jan. "Stressed Value-at-Risk." In 2012 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr). IEEE, 2012. http://dx.doi.org/10.1109/cifer.2012.6327832.

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Gianfreda, Angelica, and Giacomo Scandolo. "ENERGY RISK MANAGEMENT BY VALUE-AT-RISK." In 2nd International Scientific Conference - Economics and Management: How to Cope With Disrupted Times. Association of Economists and Managers of the Balkans, Belgrade, Serbia; Faculty of Management Koper, Slovenia; Doba Business School - Maribor, Slovenia; Integrated Business Faculty - Skopje, Macedonia; Faculty of Management - Zajecar, Serbia, 2018. http://dx.doi.org/10.31410/eman.2018.280.

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"Value at Risk Estimation using Extreme Value Theory." In 19th International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand (MSSANZ), Inc., 2011. http://dx.doi.org/10.36334/modsim.2011.d6.singh.

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Peng, Jin. "Measuring Fuzzy Risk by Credibilistic Value at Risk." In 2008 3rd International Conference on Innovative Computing Information and Control. IEEE, 2008. http://dx.doi.org/10.1109/icicic.2008.351.

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Zhong, J., and F. F. Wu. "Operating reserve value at risk." In 2006 IEEE Power Engineering Society General Meeting. IEEE, 2006. http://dx.doi.org/10.1109/pes.2006.1708859.

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Sanghvi, Anuj Dilip, and Ryan Cryar. "Cybersecurity Value-at-Risk Framework." In 2023 IEEE Power & Energy Society General Meeting (PESGM). IEEE, 2023. http://dx.doi.org/10.1109/pesgm52003.2023.10252996.

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Hepworth, Adam J., Michael P. Atkinson, and Roberto Szechtman. "A sequential elimination approach to value-at-risk and conditional value-at-risk selection." In 2017 Winter Simulation Conference (WSC). IEEE, 2017. http://dx.doi.org/10.1109/wsc.2017.8247963.

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Reports on the topic "Value at risk"

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Ketterer, Juan Antonio, and Agustina Calatayud. Integrated Value Chain Risk Management. Inter-American Development Bank, 2016. http://dx.doi.org/10.18235/0010631.

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A widespread view in the private sector is that the lack of access to finance significantly limits the entry into and the performance of value chains. Access to finance is expensive, scarce, and short term in countries in Latin America and the Caribbean, and it hampers firms' investment and the financial management required to gain entry and remain as participants in a value chain. The lack of access to finance is a consequence of a series of market failures that form the basis for public policy intervention. The region's development banks and specialized agencies have thus designed programs t
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Santos, Tano, and Pietro Veronesi. Cash-Flow Risk, Discount Risk, and the Value Premium. National Bureau of Economic Research, 2005. http://dx.doi.org/10.3386/w11816.

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Simpson, D. E. The societal impact value of risk. Office of Scientific and Technical Information (OSTI), 1995. http://dx.doi.org/10.2172/80993.

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Adrian, Tobias, and Hyun Song Shin. Procyclical Leverage and Value-at-Risk. National Bureau of Economic Research, 2013. http://dx.doi.org/10.3386/w18943.

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Shin, Hyun-Han, and Rene Stulz. Firm Value, Risk, and Growth Opportunities. National Bureau of Economic Research, 2000. http://dx.doi.org/10.3386/w7808.

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Sanghvi, Anuj, Ryan Cryar, Jordan Smart, Nate Evans, Amanda Joyce, and Stephanie Jenkins. Hydropower Cybersecurity Value-at-Risk Framework. Office of Scientific and Technical Information (OSTI), 2023. http://dx.doi.org/10.2172/1924011.

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Johnson, Jennifer. Intimate Partner Violence Risk Assessment: The Additive Value of Victim Reported Risk. Portland State University Library, 2000. http://dx.doi.org/10.15760/etd.7416.

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Engle, Robert, and Simone Manganelli. CAViaR: Conditional Value at Risk by Quantile Regression. National Bureau of Economic Research, 1999. http://dx.doi.org/10.3386/w7341.

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Borbinha, José. D4.4 Report on Risk, Benefit, Impact and Value. Collaboration to Clarify the Costs of Curation, 2014. http://dx.doi.org/10.7207/4c-4.4.

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Bauer, Daniel, Darius Lakdawalla, and Julian Reif. Mortality Risk, Insurance, and the Value of Life. National Bureau of Economic Research, 2018. http://dx.doi.org/10.3386/w25055.

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