Search Results

Stochastic Dominance and Risk Measure: A Decision-Theoretic Foundation for VaR and C-VaR,
Chenghu Ma and Wing-Keung Wong, from Wang Yanan Institute for Studies in Economics (WISE), Xiamen University (2013)
Keywords: downside risk, value-at-risk, conditional-VaR, stochastic dominance, utility

Risk budgeting and Value-at-Risk,
Keith Pilbeam and Rehan Noronha, in International Journal of Monetary Economics and Finance (2008)
Keywords: value-at-risk; VaR; risk budgeting; risk management; risk attribution; risk decomposition; risk measures.

Conditional autoregressive value-at-risk: all flavours of CAViaR,
Pedro Henrique Melo Albuquerque, Matheus Facure Alves, Maísa Cardoso Aniceto and Gustavo Monteiro Pereira, in International Journal of Business Forecasting and Marketing Intelligence (2020)
Keywords: value-at-risk; VaR; conditional autoregressive value-at-risk; CAViaR; bias-variance dilemma; risk.

THE VAR AT RISK,
Alfred Galichon, in International Journal of Theoretical and Applied Finance (IJTAF) (2010)
Keywords: Value-at-risk

The var at risk,
Alfred Galichon, from HAL (2009)
Keywords: value-at-risk

Generalized Extreme Value Distribution and Extreme Economic Value at Risk (EE-VaR),
Amadeo Alentorn and Sheri Markose, from Springer (2008)
Keywords: Economic Value-at-Risk, EE-VaR, empirical scaling law, term structure of implied RNDs

Decoupling VaR and regulatory capital: an examination of practitioners’ experience of market risk regulation,
Orla McCullagh, Mark Cummins and Sheila Killian, in Journal of Banking Regulation (2023)
Keywords: Bank regulation, Market risk, Value-at-risk, VaR, FRTB

The predictive power of value-at-risk models in commodity futures markets,
Roland Füss, Zeno Adams and Dieter G Kaiser, in Journal of Asset Management (2010)
Keywords: commodities, risk management, value-at-risk (VaR), GARCH modeling, conditional autoregressive value-at-risk (CAViaR), quantile regression

Research Note ---A Value-at-Risk Approach to Information Security Investment,
Jingguo Wang, Aby Chaudhury and H. Raghav Rao, in Information Systems Research (2008)
Keywords: information assurance, security investment, value-at-risk (VaR), extreme value analysis

Dynamic D-Vine Copula Model with Applications to Value-at-Risk (VaR),
Tófoli Paula V., Ziegelmann Flávio A., Osvaldo Candido and Pedro Valls Pereira, in Journal of Time Series Econometrics (2019)
Keywords: regular vine, pair-copula constructions, time-varying copulas, value-at-risk

AN ANALYTICAL METHOD OF ESTIMATING VALUE-AT-RISK ON THE BELGRADE STOCK EXCHANGE,
Milica D. Obadović and Mirjana M. Obadović, in Economic Annals (2009)
Keywords: market risk, Value-at-risk (VaR) model, analytical method, financial market

Value at Risk (VaR) and the alpha-stable distribution,
John Frain, from Trinity College Dublin, Economics Department (2008)
Keywords: alpha stable distribution, Value at Risk, VaR

VAR_ESHORTFALL: Shazam routine to evaluate Value at Risk and Expected Shortfall,
Ibrahim Onour, from Boston College Department of Economics (2012)
Keywords: VaR, Value at Risk, expected shortfall

Decomposing Portfolio Value-at-Risk: A General Analysis,
Winfried Hallerbach, from Tinbergen Institute (1999)
Keywords: Value-at-Risk; marginal VaR; component VaR; incremental VaR; non-normality; non-linearity; estimation; simulation

Value-at-Risk Efficient Portfolio Selection Using Goal Programming,
Hsin-Hung Chen, in Review of Pacific Basin Financial Markets and Policies (RPBFMP) (2008)
Keywords: Efficient frontier, portfolio selection, polynomial goal programming, Value-at-Risk (VaR)

Value-at-Risk (VAR) Estimation Methods: Empirical Analysis based on BRICS Markets,
Ameni Ben Salem, Imene Safer and Islem Khefacha, from University Library of Munich, Germany (2022)
Keywords: Value-at-Risk, BRICS, Riskmetrics, Historical Simulation, GARCH, Historical Method, Backtesting, Confidence level.

Comparison of Value at Risk (VaR) Multivariate Forecast Models,
Fernanda Maria Müller and Marcelo Righi, in Computational Economics (2024)
Keywords: Risk forecasting, Value at Risk (VaR), Copulas, Multivariate GARCH models

Estimating Value-at-Risk (VaR) using TiVEx-POT Models,
Dennis Mapa, Peter Julian Cayton and Mary Therese Lising, from University Library of Munich, Germany (2009)
Keywords: Value-at-Risk, Extreme Value Theory, Generalized Pareto Distribution, Time-Varying Parameters, Use of Explanatory Variables, GARCH modeling, Peaks-over-Thresholds Model

Optimal VaR-based risk management with reinsurance,
Jianfa Cong and Ken Seng Tan, in Annals of Operations Research (2016)
Keywords: Risk management, Reinsurance, Optimal strategy, Value-at-risk (VaR), Monotonic piecewise premium principle, Multiple reinsurers, Counterparty risk

Optimal VaR-based risk management with reinsurance,
Jianfa Cong and Ken Tan, in Annals of Operations Research (2016)
Keywords: Risk management, Reinsurance, Optimal strategy , Value-at-risk (VaR), Monotonic piecewise premium principle , Multiple reinsurers, Counterparty risk,

Value-at-Risk Estimation of Equity Market Risk in India,
Jitender, in Acta Universitatis Sapientiae, Economics and Business (2021)
Keywords: value-at-risk (VaR), equity market risk, variance–covariance, historical simulation, financial risk management

Analytical value-at-risk with jumps and credit risk,
Jun Pan and Darrell Duffie, in Finance and Stochastics (2001)
Keywords: Value-at-risk, credit risk, jump risk, analytical VaR, delta-gamma approximation

LIMITATIONS OF VALUE-AT-RISK (VAR) FOR BUDGET ANALYSIS,
Cole Gustafson, from North Dakota State University, Department of Agribusiness and Applied Economics (2004)
Keywords: Agricultural Finance, Risk and Uncertainty

Are VaR models effective in capturing downside risk in alternative investment funds? Insights from a cross-country study,
Amrit Panda and Soumya Guha Deb, in International Journal of Financial Engineering (IJFE) (2024)
Keywords: Alternative investment fund (AIFs), Value-at-Risk (VaR), GARCH, backtesting

On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open?,
Ana-Maria Fuertes and Jose Olmo, in JRFM (2016)
Keywords: overnight information; price discovery; realized VaR; realized volatility; Value-at-Risk

Have we gone too VAR? The forsaken side of risk management,
W. Randall Payant, in Journal of Risk Management in Financial Institutions (2009)
Keywords: value-at-risk, financial modelling, VAR, risk management, market liquidity, earnings-at-risk, risk-taking, philosophy, modelling errors

Value-at-Risk models and Basel capital charges,
Adrian F. Rossignolo, Meryem Duygun Fethi and Mohamed Shaban, in Journal of Financial Stability (2012)
Keywords: Value-at-Risk; Extreme Value Theory; Emerging and Frontier markets; Capital Requirements; Stressed VaR;

Ambiguity and optimal portfolio choice with Value-at-Risk constraint,
Bong-Gyu Jang and Seyoung Park, in Finance Research Letters (2016)
Keywords: Ambiguity aversion; Risk aversion; Value-at-Risk (VaR); Optimal portfolio; Wealth management;

Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer’s risk limit,
ZhiYi Lu, LiLi Meng, Yujin Wang and Qingjie Shen, in Insurance: Mathematics and Economics (2016)
Keywords: Optimal reinsurance; Value-at-risk (VaR); Tail value-at-risk (TVaR); Risk limit; Two-layer reinsurance; Expectation premium principle;

Entropic Value-at-Risk: A New Coherent Risk Measure,
A. Ahmadi-Javid, in Journal of Optimization Theory and Applications (2012)
Keywords: Chernoff inequality, Coherent risk measure, Conditional value-at-risk (CVaR), Convex optimization, Cumulant-generating function, Duality, Entropic value-at-risk (EVaR), g-entropic risk measure, Moment-generating function, Relative entropy, Stochastic optimization, Stochastic programming, Value-at-risk (VaR)

The value of Value-at-Risk: A theoretical approach to the pricing and performance of risk measurement systems,
Zvi Wiener, in Journal of Economics and Business (2012)
Keywords: Basel accord; Capital adequacy; Risk measurement; Value-at-Risk (VaR); Queuing theory; Erlang formula; Financial institution regulation;

High-order moments and extreme value approach for value-at-risk,
Chu-Hsiung Lin, Chang-Cheng Changchien, Tzu-Chuan Kao and Wei-Shun Kao, in Journal of Empirical Finance (2014)
Keywords: Value-at-Risk; Skewed generalized t distribution; Extreme value theory; Tail-index; VaR-x method;

Computational challenges for value-at-risk and expected shortfall: Chebyshev interpolation to the rescue?,
Sascha Wilkens, in International Journal of Financial Markets and Derivatives (2021)
Keywords: risk measurement; market risk; value-at-risk; VaR; expected shortfall; interpolation; Chebyshev.

Robust value-at-risk forecasting of Karachi Stock Exchange,
Farhat Iqbal, in Afro-Asian Journal of Finance and Accounting (2017)
Keywords: generalised autoregressive conditional heteroscedastic; GARCH; M-estimator; volatility; value-at-risk; VaR.

Portfolio optimization under the Value-at-Risk constraint,
Traian A. Pirvu, in Quantitative Finance (2007)
Keywords: Value-at-Risk (VaR), Utility functions, Portfolio optimization, Portfolio theory, Portfolio management,

Comparison of Value-at-Risk models using the MCS approach,
Mauro Bernardi and Leopoldo Catania, in Computational Statistics (2016)
Keywords: Hypothesis testing, Model Confidence Set, Value-at-Risk, VaR combination, ARCH, GAS, CAViaR models

Optimal reinsurance under dynamic VaR constraint,
Nan Zhang, Zhuo Jin, Shuanming Li and Ping Chen, in Insurance: Mathematics and Economics (2016)
Keywords: HJB equation; Dynamic Value-at-Risk (VaR); Conditional Value-at-Risk (CVaR); Worst-case CVaR (wcCVaR); Survival probability;

A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model,
Gordon Alexander and Alexandre Baptista, in Management Science (2004)
Keywords: value-at-risk (VaR), conditional value-at-risk (CVaR), risk management, portfolio choice

Artifactual unit root behavior of Value at risk (VaR),
Ngai Hang Chan and Tony Sit, in Statistics & Probability Letters (2016)
Keywords: Quantiles; Value-at-risk; Unit root;

Backtesting historical simulation value-at-risk for a selected portfolio of South African bonds,
Gerhard Van de Venter, from Finance Discipline Group, UTS Business School, University of Technology, Sydney (2000)
Keywords: Backtesting; Bond market risk; Bond exchange of South Africa; Financial risk; Historical simulation value-at-risk; Market risk; Risk management; Value-at-risk (VaR) and Volatility

VaR constrained asset pricing with relative performance,
Xiangbo Liu, Zhigang Qiu and Yan Xiong, in Economics Letters (2013)
Keywords: Relative performance; Financial institution; Asset pricing; Value-at-Risk (VaR);

On Conditional Value at Risk (CoVaR) for tail-dependent copulas,
Jaworski Piotr, in Dependence Modeling (2017)
Keywords: Copulas, Tail dependence, Value-at-Risk (VaR), Conditional Value-at-Risk (CoVaR), Conditional quantiles

Addendum to: Entropic Value-at-Risk: A New Coherent Risk Measure,
A. Ahmadi-Javid, in Journal of Optimization Theory and Applications (2012)
Keywords: Chernoff inequality, Coherent risk measure, Conditional value-at-risk (CVaR), Convex optimization, Cumulant-generating function, Duality, Entropic value-at-risk (EVaR), g-entropic risk measure, Moment-generating function, Relative entropy, Stochastic optimization, Stochastic programming, Value-at-risk (VaR)

How well do risk measurement models estimate VaR during good and bad times? Evidence from the Korean stock market,
Everton Dockery and Miltiadis Efentakis, in International Journal of Financial Markets and Derivatives (2013)
Keywords: value-at-risk; VaR; market risk; risk management; South Korea; risk measurement models; stock markets; EWMA; RiskMetrics.

An empirical comparison of alternative models in estimating Value-at-Risk: evidence and application from the LSE,
Everton Dockery and Miltos Efentakis, in International Journal of Monetary Economics and Finance (2008)
Keywords: risk measurement; risk management; value-at-risk; VaR models; London stock exchange; market uncertainty; volatile markets.

Application of Granularity Adjustment Approximation Method to Incremental Value-at-Risk in Concentrated Portfolios,
Yu Takata, in Economics Bulletin (2018)
Keywords: credit value-at-risk (VaR), granularity adjustment approximation, monte-Carlo simulation, Concentrated Portfolios

Value-at-risk and expected shortfall: a dual long memory framework,
Zouheir Mighri, Faysal Mansouri and Geoffrey Hewings, in Global Business and Economics Review (2014)
Keywords: value-at-risk; VaR; expected shortfall; dual long memory; Argentina; stock markets; volatility asymmetry; fat-tails.

History of Value-at-Risk: 1922-1998,
Glyn A. Holton, from University Library of Munich, Germany (2002)
Keywords: value-at-risk history

Comparing Value-at-Risk Methodologies,
Luiz Lima and Breno Pinheiro Néri, from Society for Computational Economics (2006)
Keywords: ARCH Quantile Value-at-Risk

Multi-Period VaR-Constrained Portfolio Optimization with Applications to the Electric Power Sector,
Paul R. Kleindorfer and Lide Li, in The Energy Journal (2005)
Keywords: Electricity; Value-at-Risk (VAR); Portfolio analysis; electric power trading

Evaluating Value-at-Risk models via Quantile Regression,
Wagner Gaglianone, Luiz Lima, Oliver Linton and Daniel Smith, from Universidad Carlos III de Madrid. Departamento de Economía (2009)
Keywords: Value-at-Risk

Enhancing portfolio risk management: a comparative study of parametric, non-parametric, and Monte Carlo methods, with VaR and percentile ranking,
Aris Shokri and Alexios Kythreotis, in International Journal of Business and Emerging Markets (2024)
Keywords: portfolio management; risk management; capital allocation; value-at-risk; VaR; Monte Carlo.

Managing Value-at-Risk in Daily Tourist Tax Revenues for the Maldives,
Michael McAleer, Riaz Shareef and Bernardo da Veiga, from Universitat de les Illes Balears, Departament d'Economía Aplicada (2005)
Keywords: Small Island Tourism Economies (SITEs), International tourist arrivals, Tourism tax, Volatility, Risk, Value-at-Risk (VaR), Sustainable Tourism@Risk (ST@R).

Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints,
Ning Wang, Nan Zhang, Zhuo Jin and Linyi Qian, in Insurance: Mathematics and Economics (2021)
Keywords: Non-zero-sum stochastic differential game; Dynamic Value-at-Risk (VaR); Quadratic risk process; Relative performance; Nash equilibrium;

The equity risk posed by the too-big-to-fail banks: a Foster–Hart estimation,
Abhinav Anand, Tiantian Li, Tetsuo Kurosaki and Young Shin Kim, in Annals of Operations Research (2017)
Keywords: Financial risk, Normal Tempered Stable distribution, Foster–Hart risk, Value-at-Risk (VaR), Average Value-at-Risk (AVaR)

Estimation of Value at Risk (VaR) Based On Lévy-GARCH Models: Evidence from Tehran Stock Exchange,
Hossein Amiri , Mahmood Najafi Nejad and Seyede Mohadese Mousavi , in Journal of Money and Economy (2021)
Keywords: Lévy Distribution, Value at Risk (VaR), GARCH Model, Risk Management.

Time-varying conditional Johnson SU density in value-at-risk (VaR) methodology,
Peter Julian Cayton and Dennis Mapa, from University Library of Munich, Germany (2012)
Keywords: Time Varying Parameters; GARCH models; Nonnormal distributions; Risk Management

Using Value-at-Risk to Control Risk Taking: How Wrong Can you Be?,
Xiongwei Ju and Neil Pearson, from University Library of Munich, Germany (1998)
Keywords: Value-at-Risk

On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles,
James Ming Chen, in Risks (2018)
Keywords: expectiles; risk measures; expected shortfall; value-at-risk; VaR; Basel accords; elicitability; coherence; backtesting; robustness; gain/loss ratios

GFC-robust risk management under the Basel Accord using extreme value methodologies,
Juan Jimenez-Martin, Michael McAleer, Teodosio Pérez-Amaral and Paulo Araújo Santos, in Mathematics and Computers in Simulation (MATCOM) (2013)
Keywords: Value-at-Risk (VaR); DPOT; Daily capital charges; Robust forecasts;

Governance mechanisms and downside risk,
Li-Hsun Wang, Chu-Hsiung Lin, Hung-Gay Fung and Hsien-Ming Chen, in Pacific-Basin Finance Journal (2015)
Keywords: Corporate governance; Downside risk; Value-at-risk (VaR); Expected shortfall;

Predictive performance of conditional Extreme Value Theory in Value-at-Risk estimation,
Ahmed Ghorbel and Abdelwahed Trabelsi, in International Journal of Monetary Economics and Finance (2008)
Keywords: financial risk management; value-at-risk; VaR estimation; extreme value theory; EVT; conditional EVT; backtesting; peaks over threshold; block maxima; market risks; stock markets; extreme losses; forecasting.

A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification,
Stavros Degiannakis, Pamela Dent and Christos Floros, from University Library of Munich, Germany (2014)
Keywords: Expected Shortfall, FIGARCH, Forecasting, stock indices, skewed Student-t, Volatility, Long Memory, Value-at-Risk, VaR.

On the volatility of daily stock returns of Total Nigeria Plc: evidence from GARCH models, value-at-risk and backtesting,
Ngozi G. Emenogu, Monday Adenomon and Nwaze Obini Nweze, in Financial Innovation (2020)
Keywords: Volatility, Returns, Stocks, Total petroleum, Akaike information criterion (AIC), GARCH, Value-at-risk (VaR), Backtesting

Comparisons of cashflow maps for value-at-risk,
Marc Henrard, from University Library of Munich, Germany (2003)
Keywords: Value-at-risk, mapping, cashflows

Spillover from oil market to stock market in Nigeria: Evidence from granger causality in risk,
Olaolu Olayeni and Olofin O. Philip*, in Journal of Developing Areas (2015)
Keywords: Risk spillover, CAViaR approach, Value-at-risk (VaR), Granger causality, Nigeria

Score-driven exponentially weighted moving averages and Value-at-Risk forecasting,
Andre Lucas and Xin Zhang, in International Journal of Forecasting (2016)
Keywords: Dynamic volatilities; Dynamic higher-order moments; Integrated generalized autoregressive score models; Exponentially Weighted Moving Average (EWMA); Value-at-Risk (VaR);

Score Driven exponentially Weighted Moving Average and Value-at-Risk Forecasting,
Andre Lucas and Xin Zhang, from Tinbergen Institute (2015)
Keywords: dynamic volatilities, time varying higher order moments, integrated generalized autoregressive score models, Exponential Weighted Moving Average (EWMA), Value-at-Risk (VaR)

Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting,
Andre Lucas and Xin Zhang, from Sveriges Riksbank (Central Bank of Sweden) (2015)
Keywords: dynamic volatilities; dynamic higher-order moments; integrated generalized autoregressive score models; Exponentially Weighted Moving Average (EWMA); Value-at-Risk (VaR)

A robust confidence interval of historical Value-at-Risk for small sample,
Dominique Guegan, Bertrand K. Hassani and Kehan Li, from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2016)
Keywords: Value-at-Risk; Small sample; Uncertainty; Asymptotic normality approximation; Saddlepoint approximation; Bisection search approach; Spectral Stress VaR; Stress testing

Estimation of VaR Using Copula and Extreme Value Theory,
Luiz Hotta, E. C. Lucas and H. P Palaro, in Multinational Finance Journal (2008)
Keywords: conditional copula; risk measures; VaR, extreme value theory

VaR for Plan Sponsors,
Eric Stubbs and Francis Gupta, from University Library of Munich, Germany (2003)
Keywords: Value-at-Risk, V@R, VaR, Defined Benefit, Pension Plans, Plan Sponsors, Assets, Liabilities, Pension Surplus

ESTIMATING THE VALUE-AT-RISK (VaR) OF PORTFOLIOS VIA GARCH FAMILY MODELS AND MONTE CARLO SIMULATION,
Lucas Lúcio Godeiro, in Revista de Economia Mackenzie (REM) (2013)
Keywords: VaR; Garch; Monte Carlo simulation

The Influence of Liquidity Risk on Value-at-Risk Calculations,
Bor Bricelj, Sebastjan Strašek and Timotej Jagric, in Management (2013)
Keywords: value-at-risk, liquidity, backtests

ROM Simulation: Applications to Stress Testing and VaR,
Carol Alexander and Daniel Ledermann, from Henley Business School, University of Reading (2012)
Keywords: Random orthogonal matrix, Value-at-Risk, Stressed VaR, Basel II, Market risk capital

Overview of the Greek value at risk (VaR) legislation framework,
Evangelos Vasileiou, in Journal of Financial Regulation and Compliance (2016)
Keywords: Financial reporting, Financial crisis, Financial regulation, Capital markets, Regulatory risk, Value-at-risk

Credit Risk Measurement Using VaR Methodology,
Katarina Valaskova, Anna Siekelova and Ivana Weissova, from Springer (2017)
Keywords: Credit risk, VAR

Do green financial markets offset the risk of cryptocurrencies and carbon markets?,
Md Abubakar Siddique, Haitham Nobanee, Sitara Karim and Farah Naz, in International Review of Economics & Finance (2023)
Keywords: CAViaR; Carbon markets; Cryptocurrencies; Green assets; TVP-VAR; Value-at-Risk;

Diversification and Value-at-Risk,
Christophe Perignon and Daniel Smith, in Journal of Banking & Finance (2010)
Keywords: Value-at-Risk Diversification Dynamic conditional correlation Copulas

Value-at-Risk for Greek Stocks,
Timotheos Angelidis and Alexandros Benos, in Multinational Finance Journal (2008)
Keywords: value-at-risk,; GARCH; historical simulation; backtesting

On Some Models for Value-At-Risk,
Philip Yu, Wai Keung Li and Shusong Jin, in Econometric Reviews (2010)
Keywords: GARCH model, Mixtures, Threshold models, Value-at-risk,

Value-at-Risk: The Delta-normal Approach,
Marc Henrard, from University Library of Munich, Germany (2005)
Keywords: value-at-risk; delta normal approach

A residual bootstrap for conditional Value-at-Risk,
Eric Beutner, Alexander Heinemann and Stephan Smeekes, in Journal of Econometrics (2024)
Keywords: Residual bootstrap; Value-at-Risk; GARCH;

Optimal reinsurance with concave ceded loss functions under VaR and CTE risk measures,
ZhiYi Lu, LePing Liu and ShengWang Meng, in Insurance: Mathematics and Economics (2013)
Keywords: Optimal reinsurance; Value-at-risk (VaR); Conditional tail expectation (CTE); Increasing concave function; Quota-share reinsurance; Full reinsurance; Expectation premium principle;

VaR (Value at Risk) Model,
Vergil Voineagu and Danut Culetu, in Romanian Statistical Review Supplement (2012)
Keywords: risk, model, monitor, bank, loss, gain

The information content of the VDAX volatility index and backtesting daily value-at-risk models,
Ihsan Badshah, in International Journal of Financial Markets and Derivatives (2015)
Keywords: backtesting; GARCH; Germany; DAX; stock markets; implied volatility; value-at-risk; information content; VDAX volatility index; daily VAR models; historical volatility; financial risk management.

Risk transmission mechanism between energy markets: A VAR for VaR approach,
Yifan Shen, Xunpeng Shi and Hari Malamakkavu Padinjare Variam, in Energy Economics (2018)
Keywords: Energy market integration; Risk spillovers; VAR for VaR; Natural gas; Oil;

APPLICATION OF VaR ANALYSIS TO ASSESS THE RISK IN BANKING INSTITUTIONS,
Maria Vidolova, in Yearbook of the Faculty of Economics and Business Administration, Sofia University (2014)
Keywords: risk models, risk analysis, VaR.

Analytical Portfolio Value-at-Risk,
Guy Kaplanski, from University Library of Munich, Germany (2005)
Keywords: Value-at-Risk, Risk measurement, Portfolio Optimization, Downsize Risk

One-day-ahead value-at-risk estimations with dual long-memory models: evidence from the Tunisian stock market,
Samir Mabrouk and Chaker Aloui, in International Journal of Financial Services Management (2010)
Keywords: dual long-range memory; ARFIMA-FIGARCH; ARFIMA-FIAPARCH; skewed student innovations; value-at-risk; VaR estimations; Tunisia; Tunisian stock exchange.