Value At Risk Thesis

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The practical issues are studied in an empirical research conducted with the daily closing values of Nokia's stock price and Euro Stoxx 50 index price.

The daily risk estimates are calculated and the estimates are then backtested on yearly level.

Value at risk (Va R) is a statistic that measures and quantifies the level of financial risk within a firm, portfolio or position over a specific time frame.

This metric is most commonly used by investment and commercial banks to determine the extent and occurrence ratio of potential losses in their institutional portfolios.

Aluminum has a more random affect on the stocks, affecting mostly airlines and oil service companies as they are more dependent on aluminum price for their equipment.

The Va R estimation results show that the EWMA performs best for the four commodities, although only at 5% significance level.

As a result, the underestimations of occurrence and risk magnitude left institutions unable to cover billions of dollars in losses as subprime mortgage values collapsed.

Value at risk has become the standard risk measure of financial institutions during the past twenty years.

However, these conditions are seldom fulfilled in the markets.

In practice, the robustness of value at risk makes it the more suitable option for banking regulation.

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    During the past decade, Value-at-Risk commonly known as VaR has become one of the most popular risk measurement techniques in finance. VaR is a method which aims to capture the market risk of a portfolio of assets. Put formally, VaR measures the maximum loss in value of a portfolio over a predetermined time period for a given confidence interval.…

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    Value at risk thesis Value at Risk VaR is one of the most popular tools used to estimate the exposure to market risks, and it measures the worst expected loss at a given confidence level.1.1 Motivation of the Thesis In nancial risk management, especially with practitioners, Value-at-Risk VaR is a widely used risk measure because its concept is easily understandable and it focusses on the down-side, i.e. tail risk.…

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    Value-at-Risk measure and its alternatives, like Expected Shortfall ES. Many methods for computing VaR exist, and this thesis will attempt to assess the ability of this risk measure to serve its purpose by relying on the characteristics of the most common VaR calculation methods.…

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