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Size does matter: a study on the required window size for optimal-quality market risk models

In this paper the authors study different moving-window lengths for value-at-risk evaluation, and also address subjectivity in choosing the window size by ....

Financial Times Stock Exchange , Warsaw Stock Exchange , Value At Risk Var , Historical Simulation , Generalised Autoregressive Conditional Heteroscedasticity Garch , Risk Model Validation , Original Research ,

Evaluation of backtesting techniques on risk models with different horizons - Journal of Risk Model Validation

In this study different value-at-risk (VaR) models are analyzed under different estimation approaches (filtered historical simulation, extreme value theory and ....

Monte Carlo , Financial Times Stock Exchange , Value At Risk Var , Market Risk Modelling , Model Validation , Original Research ,

The value-at-risk of time-series momentum and contrarian trading strategies - Journal of Risk Model Validation

This paper not only provides a theoretical model for the value-at-risk of active and passive trading strategies but also discusses the substantial implications ....

Value At Risk Var , Trading Strategy , Risk Management , Original Research ,

US unit of BBVA on the brink of a VAR breach in Q1

Largest loss-to-VAR ratio at the firm was highest among the 12 intermediate holding companies ....

Bank Of Montreal Bmo , Credit Suisse , Rbc Capital Markets , Nited States Us , Regional Banks , Value At Risk Var , Market Risk , Market Risk Modelling , Model Risk , Isk Quantum , வங்கி ஆஃப் மான்ட்ரியல் பமோ ,

JPM records highest number of profit-making days in six years

In aggregate, US G-Sibs racked up 355 profit-making days over Q1 ....

Jp Morgan , New York Based , State Street , Bank Of America , Bny Mellon , Goldman Sachs , Jp Morgan , Morgan Stanley , State Street , Wells Fargo , Value At Risk Var , Profit Taking , Market Risk , Market Risk Modelling , Capital Requirements , Isk Quantum , ஜ்ப் மோர்கன் , புதியது யார்க் அடிப்படையிலானது , நிலை தெரு , வங்கி ஆஃப் அமெரிக்கா , டேட் தெரு ,