Evaluation of the Predictive Ability of VaR Models during
Different Market Conditions.

QR Code

Evaluation of the Predictive Ability of VaR Models during Different Market Conditions.

Risk management methods in finance have put a lot of weight on the Value-at-Risk, making it the most popular risk measurement tools. The main purpose of VaR models is to capture future market risks accurately. Thus it is important to gauge the predictive ability of VaR estimates. Consequently, b...

Full description

Bibliographic Details
Main Author:	Liew, KeiYan
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2014
Online Access:	https://eprints.nottingham.ac.uk/27448/

Similar Items

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

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

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

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

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

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

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

An Empirical Study on Value-at-Risk and Backtesting VaR Models
by: Zhao, Xinran
Published: (2014)

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

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)

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

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

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

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

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

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)

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

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)

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)

Constructing structural VAR models with conditional independence graphs
by: Oxley, Leslie, et al.
Published: (2009)

Funding forms, market conditions, and dynamic effects of government R&D subsidies: evidence from China
by: Guo, Di, et al.
Published: (2017)

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

Binary response modeling and validation of its predictive ability
by: Midi, Habshah, et al.
Published: (2010)

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

Fine motor skills predict maths ability better than they predict reading ability in the early primary school years
by: Pitchford, Nicola J., et al.
Published: (2016)

Meteorological multivariable approximation and prediction with classical VAR-DCC approach
by: Siti Mariam Norrulashikin,, et al.
Published: (2018)

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

Recognised the abilities of differently-abled persons
by: Abd Razak, Dzulkifli
Published: (2004)

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

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

Differences in the impact of R&D intensity and R&D internationalization on firm performance – Mediating role of innovation performance
by: Leung, Tak Yan, et al.
Published: (2021)

Multi-dimensional conditional mutual information with application on the EEG signal analysis for spatial cognitive ability evaluation
by: Wen, Dong, et al.
Published: (2021)

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)

Ability of acanthamoeba cyst to excyst at different temperatures
by: Nurul Fariza Rossle,, et al.
Published: (2011)