Market risk measurement

Lecture Corporate finance deparment: Chapter 3 - Risk and return, after completing this section, you will understand knowledge about: Understand the expected returns and variances; measure the expected returns and variances; understand the portfolio; understand the systematic risk and unsystematic risk; understand the security market line, capital asset pricing model;...Please refer to the documentation for more details.

59p thuyduong0906 01-07-2024 0 0   Download

The rest of this paper is organized as follows: In Section 2, previous studies related to risk measure are mentioned in the literature. Section 3 presents research methodology including AS index and EPM methodology which are applied for evaluating all ETF funds performance. Then, the result and discussion between them are compared in section 4. The final section will conclude.

9p leminhvu111 07-06-2024 0 0   Download

The study is carried out with an objective to explore the impact of green supply chain management on different performance measures such as environmental performance, operational performance and financial performance. In addition to that, the mediating role of operational performance and the environmental performance in the relationship between green supply chain management and the financial performance is also examined.

11p longtimenosee10 26-04-2024 2 1   Download

Continued part 1, part 2 of ebook "The risk modeling evaluation handbook: Rethinking financial risk management methodologies in the global capital markets" provides readers with contents including: model risk related to valuation models; limitations to measure risk; modeling model risk for risk models; economic capital and asset allocation;...

253p tuongnhuoclan 27-11-2023 9 5   Download

In ebook "Market risk analysis - Volume IV: Value-at-risk models" theoretical developments may be more rigorous and reach a more advanced level than in many other books, but they always lead to practical applications with numerous examples in interactive Excel spreadsheets.

494p tuongnhuoclan 28-11-2023 5 5   Download

Continued part 1, part 2 of ebook "Advances in quantitative analysis of finance and accounting (New series) - Volume 1" provides readers with contents including: the impact of the introduction of index securities on the underlying stocks - the case of the diamonds and the dow 30; hedging with foreign-listed single stock futures; asset pricing with higher moments - empirical evidence from the taiwan stock market; listing switches from NASDAQ to the NYSE/AMEX - is New York issuance a motive;...

116p mocthanhdao0210 19-11-2023 8 4   Download

Continued part 1, part 2 of ebook "Multinational financial management" provides readers with contents including: foreign exchange risk management; financing the multinational corporation; foreign investment analysis; multinational working capital management; measuring and managing economic exposure; international financing and national capital markets; international portfolio investment; corporate strategy and foreign direct investment; capital budgeting for the multinational corporation;...

373p dangsovu 20-10-2023 6 5   Download

Part 1 of ebook "The new science of asset allocation: Risk management in a multi-asset world" provides readers with contents including: a brief history of asset allocation; measuring risk; alpha and beta, and the search for a true measure of manager value; asset classes - what they are and where to put them; strategic, tactical, and dynamic asset allocation; core and satellite investment - market/manager based alternatives; sources of risk and return in alternative investments;...

188p thamnhuocgiai 24-09-2023 8 3   Download

Ebook "Financial risk management: A practitioner's guide to managing market and credit risk (Second edition)" market risk expert Steve Allen offers an insider's view of this discipline and covers the strategies, principles, and measurement techniques necessary to manage and measure financial risk. Fully revised to reflect today's dynamic environment and the lessons to be learned from the 2008 global financial crisis, this reliable resource provides a comprehensive overview of the entire field of risk management.

609p tichhythan 17-08-2023 8 6   Download

Part 1 book "Management for professionals - A guide to modern portfolio management and behavior driven markets" includes content: Risk Measures in asset management; modern portfolio theory and its problems; stock market anomalies.

260p oursky01 24-07-2023 9 5   Download

Part 1 book "An introduction to market risk measurement" includes content: The risk measurement revolution, measures of financial risk, basic issues in measuring market risk, Non-parametric VaR and ETL; parametric VaR and ETL; simulation approaches to VaR and ETL estimation.

139p oursky01 24-07-2023 7 5   Download

Part 2 book "An introduction to market risk measurement" includes content: Incremental and component risks, estimating liquidity risks, backtesting market risk models, stress testing, model risk.

168p oursky01 24-07-2023 9 4   Download

In the paper "An application of single index model in risk measurement on Vietnamese stock market", the Single Index Model is used in measuring systematic risk, non-systematic risk and total risk of each individual stock and a portfolio including stocks on Vietnamese stock market.

12p nhanchienthien 25-07-2023 11 5   Download

Continued part 1, part 2 of ebook "Applied quantitative finance (Third edition)" has presents the following content: dynamics risk measurement; copulae in high dimensions - an introduction; measuring and modeling risk using high-frequency data; measuring financial risk in energy markets; risk analysis of cryptocurrency as an alternative asset class; time varying quantile lasso; dynamic topic modelling for cryptocurrency community forums;...

125p dieptieuung 20-07-2023 4 4   Download

Part 1 of ebook "Applied quantitative finance (Third edition)" has presents the following content: market risk; vaR in high dimensional systems-a conditional correlation approach; multivariate volatility models; portfolio selection with spectral risk measures; implementation of local stochastic volatility model in FX derivatives; credit risk; estimating distance-to-default with a sector-specific liability adjustment via sequential monte carlo;...

244p dieptieuung 20-07-2023 8 3   Download

"Ebook The electronic library: The international journal for the application of technology in information environments (World Wide Web applications in South Africa)" present the following contents: World Wide Web research investigated at annual conference in South Africa (www.zaw3.co.za); RAT online: martial arts learning resources; A framework of anti-phishing measures aimed at protecting the online consumer’s identity; Malware: the new legal risk; Web access for IT staff: a developing world perspective on web abuse;…

148p runthenight08 12-04-2023 6 2   Download

This thesis represents the first comprehensive study on the performance (raw and risk-adjusted), performance persistence, and market timing ability of the equity funds in Hong Kong Mandatory Provident Funds (MPF) scheme during the period 2001 – 2004. Regardless of the measure used (Jensen single-index alpha measure, Fama-French three-factor alpha measure, and modified Jensen alpha controlled by changes in exchange rates), US equity funds and Pacific-Basin excluding Japan equity funds, are found to consistently underperform relative to the market.

237p runthenight04 02-02-2023 1 1   Download

The aim of this thesis is: To examine and evaluate commercial property market forecast theory and models used in forecasting market performance; to define and analyse downside risk exposure and strategies to manage risks in a real estate environment; to test the accuracy of commercial property market and economic forecasts and to determine whether they capture downside risks; to analyse and discuss the relationship between property forecast errors and economic forecast errors; to explore the current state of the australian commercial property market forecasting practice and its exposure to ...

403p runthenight04 02-02-2023 6 3   Download

In this paper, we propose a method for risk measurement of a portfolio containing indexes on financial markets, including stock and foreign exchange markets. Specifically, copula method is applied to estimate the Value at Risk (VaR) and the Conditional Value at Risk (CVaR) of some optimal portfolios consisting Vietnam stock index VNINDEX, some international stock markets such as the USA, Chinese, Korean, Japanese, French, Australian markets and exchange rates.

12p vihassoplattner 07-01-2022 12 0   Download

This paper attempts to picture the impact of the market risk of ten commercial banks located in Bangladesh with the help of a non-parametric model known as the Historical Simulation Approach over the course of eight years.

21p nguaconbaynhay12 08-06-2021 10 1   Download