## CHECK THESE SAMPLES OF Value at risk

...? Assessment III Topic: Measurement and Disclosure of **Value** at **Risk** for Mutual Fund Portfolios Fatimah Al-Faraj ID 200600528 Table of Contents Abstract 4 Chapter 1: Introduction 5 1.1 Background 5 1.2 Motivation 6 1.3 Problem statement 7 1.4 Thesis statement 9 1.5 Research Hypothesis 9 1.6 Definition of Terms 10 Chapter 2: Literature review 11 2.1 History of Mutual Funds 11 2.2 Definition of mutual funds 12 2.3 Types of Mutual Funds 12 2.3.1 Open-end companies 13 2.3.2 Management Companies 13 2.4 Measurement of the **risk** at mutual funds 14 2.4.1 Shape ratio 15 2.4.2 Treynor Ratio 15 2.4.3 Jensen’s Alpha 16 2.4.4 Sharpe-Optimal Portfolios 17 2.4.5 Performance of the Different GARCH Models...

40 Pages(10000 words)Research Paper

...?Introduction This report aims to present the findings of an analysis of the 260-day **Value** at **Risk** (VAR) of a portfolio of four shares. The purpose of this analysis is to measure financial **risk** as well as to quantify and manage the **risk** of a portfolio. A short discussion of **Value** at **Risk** in general will be provided, followed by a review of the key questions motivating this analysis. A summary of the data used to conduct the analysis and the methodology employed also will be followed by presentation of the main findings of the analysis, along with a discussion of any limitations and possible recommendations. Background: **Value** at **Risk** (VAR) According to Choudhry (2006), the VAR of a portfolio is the maximum loss expected to occur... with a...

14 Pages(3500 words)Assignment

...? FINANCIAL MODELING OF **VALUE** AT **RISK** PORTFOLIO By Presented to FINANCIAL MODELING OF **VALUE** AT **RISK** PORTFOLIO INTRODUCTION The following report has been based on total return index data. This information will be used to analyze, justify, explain, recommend and conclude on the financial modeling outcomes of four shares of four different companies. Probability measures have been used to determine how frequent we anticipate various results to take place should we repeat a provided experiment repeatedly. The stakeholders of the four companies choose investment as a probability approach. The following data analysis is to present a standard report on the development of an event...

20 Pages(5000 words)Essay

... An analysis of the **Value** at **Risk** (VAR) of a portfolio of 4 shares Introduction This is a report prepared to show the analysis of the **Value** at **Risk** (VAR) of a portfolio of 4 shares. The shares are based on four entities namely kingfisher PLC, GKN PLC, Admiral PLC, and Burberry Group PLC all from different companies. To begin with we look at a quick view of importance for **valuing** **risk**. Financial institutions face a wide number of **risks**. These **risks** can be defined as the extent of uncertainty towards future net returns of the institution. These **risks** can be classified into four main categories namely; Credit **risk**, operational **risk**, liquidity **risk** and market **risk**. Credit **risk** deals with the potential loss resulting from inability... prominent;...

16 Pages(4000 words)Assignment

...?Analysis of the **Value** at **Risk** (VaR) of a Portfolio of 4 Shares **Value** at **Risk** (VaR) has grown to be an accepted measure by the analysts to identify the **risk** associated with the markets. VaR is understood as the greatest possible transformation in portfolio **value** within the given probable period. The VaR has many approaches; it is used in analyzing the **risk** management, to assess the performance of **risk** takers and to make accurate approximation in the probable market. The main aim of the study is to review and assess the performance of the important methodologies of the univariate VaR, by giving special...

18 Pages(4500 words)Essay

...? **Value** at **Risk** framework and its utility in **Risk** Management Introduction In the last few years, **risk** management truly has went through an upheaval, and a new methodology has been initiated, which is known as the **value** at **risk** ( VaR) which is being employed to measure **risk** associated with the financial market, and this has been developed mainly due to difficulties experienced in the financial disasters in the early 1990s. VaR is now being employed to manage and control **risk** well beyond derivatives. VaR methodology is now assisting us to calculate both operational and credit **risk** resulting...

12 Pages(3000 words)Assignment

...been duly acknowledged. This work presented here has not been previously presented at this or any other university for similar purposes. Abstract This study develops an evaluation of **Value** at **Risk** measure for a portfolio consisting of three stocks traded at the Lusaka stock Exchange. The analysis set out from 1-day, 1% VaR and take a two dimension approach: the volatility models and the distributions are used when computing VaR. Consequently, the historical volatility, the EWMA volatility model, GARCH-type models for the volatility of the stocks and of the portfolio and a dynamic conditional correlation (DCC) model were considered. VaR was computed using standard normal distribution, and other different...

10 Pages(2500 words)Dissertation

...EVALUATION OF PORTFOLIO **RISK** UTILISING A **VALUE** AT **RISK** METHODOLOGY by This dissertation is submitted in partial fulfillment
Of the requirements for the degree of
Master of Science in International Banking and Finance
At Liverpool Moores University
June, 2009
Abstract
EVALUATION OF PORTFOLIO **RISK** UTILISING A **VALUE** AT **RISK** METHODOLOGY
By (Student Name)
Dissertation Supervisor: Supervisor Name
In its rapid transition to a modern economy, China is undergoing dynamic change in all of its business sector and industries, a situation that presents features unique to Chinese culture and China's economy....

37 Pages(9250 words)Dissertation

...**VALUE** AT **RISK** (VAR) A BENCHMARK TO MANAGING FINANCIAL **RISK** TABLE OF CONTENT PAGES An Helicopter View of **Risk** 03
From Origin of Basel till Implementation 04
**Value** At **Risk** (VAR) 06
Market **Risk** 08
Credit **Risk** 08
Operational **Risk** 09
Limitation of VAR 11
RBS failure and VAR 11
Conclusion 14
References 15
A HELICOPTER VIEW OF **RISK**:
As per a Chinese Proverb,
A smart man learns from his own mistakes,
A wise man learns from the mistakes of others,
And a fool never learns
From the last decade...

13 Pages(3250 words)Essay

...losses.(Black,1972).Today the current lending practices pertaining to credit **risk** management methodology have made considerable progress. Modern financial institutions are careful to estimate the **risk** in relation to the magnitude of the asset and are careful to assess the levels of **risk** apparent from the credit quality of the company and the **risk** caused by the particular product. ( Hsaio 2008) .
Modern Credit **Risks** are no longer defined by outright exposure and are currently calculated by a popular method of the **Value** at **Risk** (VaR)This method estimates the maximum amount of loss possible in a portfolio subject to...

3 Pages(750 words)Essay