An Empirical Study on Value-at-Risk and Backtesting VaR Models

QR Code

An Empirical Study on Value-at-Risk and Backtesting VaR Models

In a risky financial environment, investors gradually realise the danger of potential risk and the importance of risk management. The theory of Value-at-Risk (VaR) has become popular along with the establishment of risk management system in the field of finance. This paper will start with introducin...

Full description

Bibliographic Details
Main Author:	Zhao, Xinran
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2014
Online Access:	https://eprints.nottingham.ac.uk/27047/

Similar Items

Backtesting in VaR Models of Bitcoins
by: Shen, Jiadi
Published: (2018)

Backtesting VaR for Hong Kong Financial Stocks
by: Lui, Chun Yin
Published: (2022)

Empirical Research on Relationships Between Marginal-VaR, Component-VaR and Incremental-VaR
by: Li, Kai
Published: (2013)

Development of Value at Risk(VaR) models with applications to Malaysian capital market
by: Yap, Voon Choong
Published: (2004)

Can Chinese security companies use Value at Risk (VaR) to measure market risk they faced: an empirical study?
by: Tan, Xiao
Published: (2006)

An Empirical Analysis of the Contagion Risk in the Stock Markets: Evidence with E-GARCH VaR Model
by: Gao, Song
Published: (2014)

On the performance of the minimum VaR portfolio
by: Durand, Robert, et al.
Published: (2010)

Evaluating the Performance of Chinese Mutual Funds: A Study of the Application of Value-at-Risk (VaR)
by: Feng, Jingyan
Published: (2008)

Assessing the performance of the VaR models on nonlinear portfolio
by: ZHU, Guantao
Published: (2013)

Portfolio Value at Risk: Concept, Implementation and Models Backtesting
by: Dalli, Ismail
Published: (2011)

A Study Of Kuala Lumpur Composite Index Futures (FKLI) : Technical Indicator And Value-At Risk (VaR)
by: Lim, Ming Chun
Published: (2008)

Maximize the Sharpe ratio and minimize a VaR
by: Durand, Robert, et al.
Published: (2010)

The Accuracy and Disclosure of VaR by banks : Evidence from the UK
by: Nassar, Dalia/D.N
Published: (2011)

Mean-VaR portfolio optimization: a nonparametric approach
by: Lwin, Khin T., et al.
Published: (2017)

Explore VaR implementation in the Chinese Bank Context and Risk Management Officers' Understanding
by: Zhou, Mo
Published: (2006)

Evaluation of the Predictive Ability of VaR Models during Different Market Conditions.
by: Liew, KeiYan
Published: (2014)

The Application of GARCH-VaR models in Chinese Commercial Banks for the Foreign Exchange Rate Risks Management
by: CHANG, L.
Published: (2020)

Simulation based approach in evaluation of alternative VaR models in the presence of ARCH effects
by: Mukasheva, Aigerim
Published: (2012)

Can reported VaR be used as an indicator of the volatility of share prices? Evidence from UK banks.
by: Ou, Shian Kao
Published: (2006)

Can reported VaR be used as an indicator of the volatility of share prices? Evidence from UK banks.
by: Ou, Shian Kao
Published: (2006)

Can reported VaR be used as an indicator of the volatility of share prices? Evidence from UK banks.
by: Ou, Shian Kao
Published: (2006)

Keberkesanan dasar kadar pertukaran tetap: analisis VaR ke atas pasaran saham di BSKL
by: Abu Hassan Shaari Mohd Nor,, et al.
Published: (2004)

The Analysis of Systemic Risk of Commercial Banks in China Using CoVaR
by: Yin, Rui
Published: (2014)

Assessing the Value Risk (VAR) for BSE Index consisting of 30 stocks by using various parametric, nonparametric and semiparametric models for estimating Value-at-Risk (VAR)
by: Gupta, Ruchir
Published: (2008)

Va’dedilmiş cehennem (Promised hell)
by: Kayadibi, Saim
Published: (2009)

Understanding stress using EEG-VA approach
by: Abdul Rahman, Abdul Wahab, et al.
Published: (2011)

Alteration Of Risk In Asian Bond Markets During And After Mortgage Crisis: Evidence From Value At Risk (Var) Analysis
by: Günay, Samet
Published: (2016)

Distribution of VA Mycorrhizal Spores in Sandy Beach Soils under Cashew
by: Hashim, Azizah Chulan, et al.
Published: (1983)

Empirical Research on Value-at-Risk Computing Approaches in Evaluation of Financial Risks
by: LI, KAI
Published: (2012)

Market Risk VaR Historical Simulation Model with Autocorrelation Effect: A Note
by: Surapaitoolkorn, Wantanee
Published: (2009)

The VA, VCD, Raman and ROA spectra of tri-L-serine in aqueous solution
by: Jrgensen, V., et al.
Published: (2006)

Risk paths in BIM adoption: empirical study of China
by: Zhao, X., et al.
Published: (2018)

A configurational and conformational study of aframodial and its diasteriomers via experimental and theoretical VA and VCD spectroscopies
by: Jalkanen, Karl, et al.
Published: (2007)

Effect of Culture, Age and Pruning on Mass Production of the VA Mycorrhizal Fungus, Glomus fascicuiatum.
by: Sreenivasa, M. N, et al.
Published: (1988)

An empirical analysis of Value at Risk and Expected Shortfall in CDS and Equity markets
by: Chen, Hsiao-Ling
Published: (2016)

Forecasting Portfolio Risk Estimation by Using Garch and Var Methods
by: Noor Azlinna, Azizan, et al.
Published: (2012)

Design of an Off-Grid Solar Power System for a Residential-Scale 1300 VA Application
by: Yaman, ., et al.
Published: (2025)

Myosin Va’s adaptor protein melanophilin enforces track selection on the microtubule and actin networks in vitro
by: Oberhofer, Angela, et al.
Published: (2017)

Chinese Real Estate Market Risk Measure by Value-at-Risk: an Empirical Study on Real Estate Market of Beijing and Chongqing
by: Yang, Yunhan
Published: (2013)

Gender diversity and firm performance: evidence from technology and industrial companies
by: Zhang, Xinran
Published: (2022)