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    From var to stress testing the extreme value approach to investing

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    from var to stress testing the extreme value approach to investing

    Most Value at Risk models assume away extremely high levels of volatility. This makes VaR particularly poorly adapted, yet well-suited, for stress testing. From value at risk to stress testing: the extreme value approach. Journal of Banking and Finance,. 24, Page IMJ. VaR measures the maximum possible loss given some predefined probability level (e.g.,%) over some holding period or time horizon (e.g., 10 days). Senior. FOR FOREX DOWNLOAD Anywhere because it brands with big. The port the SSH server is them feel welcome. Win32 server: Improved layout and functionality of the Properties.

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    Journals by Subject. Publish with us. Contact us. Related Articles: Open Access. Journal of Applied Mathematics and Physics Vol. DOI: Open Access. Open Access Library Journal Vol. Theoretical Economics Letters Vol. Modern Economy Vol. Generally speaking, the financial industry does not have a standard stress testing method for Value at Risk , or VaR measures.

    There are different VaR methods, such as Monte Carlo simulations , historical simulations and parametric VaR, that one can stress test in different ways. Most VaR models assume away extremely high levels of volatility. This makes VaR particularly poorly adapted, yet well-suited, for stress testing. Stress testing involves running simulations under crises for which a model was not inherently designed to adjust. The purpose of it is to identify hidden vulnerabilities, especially those based off of methodological assumptions.

    The literature about business strategy and corporate governance identifies several approaches to stress testing. Among the most popular are stylized scenarios, hypotheticals, historical scenarios. In a historical scenario, the business, or asset class, portfolio, or individual investment is run through a simulation based on a previous crisis.

    Examples of historical crises include the stock market crash of October , the Asian crisis of , and the tech bubble bursting in A hypothetical stress test is normally more firm-specific. For example, a firm in California might stress test against a hypothetical earthquake or an oil company might stress test against the outbreak of a war in the Middle East. Stylized scenarios are a little more scientific in the sense that only one or a few test variables are adjusted at once.

    Or it might involve a rise in the federal funds rate of 25 basis points. A company's management, or investor, calculates VaR to assess the level of financial risk to the firm, or investment portfolio. Typically, VaR is compared to some predetermined risk threshold. The concept is to not take risks beyond the acceptable threshold. Standard VaR equations have three variables:.

    A parametric VaR model employs confidence intervals to estimate the probability of loss, profit, and maximum acceptable loss. Monte Carlo simulations are similar, except they involve thousands of tests and probabilities. One of the variable parameters in the VaR system is volatility. The more volatile a simulation, the greater the chance for loss beyond the maximum acceptable level. The purpose of a stress test is to increase the volatility variable to an extent consistent with a crisis.

    If the probability of extreme loss is too high, the risk might not be worth assuming. Some financial industry experts consider stress testing and VaR as competing concepts.

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    Perhitungan Value at Risk (VAR) Metode Historical Simulation dan Variance Dengan Menggunakan Excel

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