Abstract Value‐at‐risk (VaR) is a popular measure for quantifying the market risk that a
financial institution faces into a single number. Owing to the complexity of financial markets …

The current study aims to investigate empirically the main incentives for mandatory and
voluntary risk reporting (MRR and VRR) across the USA, the UK and Germany, each of …

In recent years many concepts for managing and measuring risk have been developed. The
main methodology for managing risk is a method of value at risk, which, in practice, is …

Value at risk is a statistic used to anticipate the largest possible losses over a specific time
frame and within some level of confidence, usually 95% or 99%. For risk management and …

In this paper, we analyze the downside risk of alternative investment funds (AIFs) in a cross-
country setting over a period of 2015–2021, using popular Value-at-Risk (VaR henceforth) …

Optimal portfolios are normally computed using the portfolio risk measured in terms of its
variance. However, performance risk is a problem if the portfolio does not perform well. This …

This article analyses downside risk of Indian equity mutual funds from 1999 to 2014 using a
value at risk (VaR)-based approach. We use weekly return data of a sample of 349 equity …

Value at Risk (VaR) measures the worst expected loss of a portfolio over a given horizon at
a given confidence level. It summarises the financial risk a company faces into one single …

Value at Risk (VaR) has been successfully estimated using single covariate probabilistic
fuzzy systems (PFS), a method which combines a linguistic description of the system …

The purpose of this paper is to investigate some statistical methods to estimate the value-at-
Risk (VaR) for stock returns in the BRICS countries for the period between 2011 to 2018 …