In the digital era, achieving economic sustainability requires proper management of risk with
deployment of technologies. In this paper, we discuss how the popular blockchain …

Keyword-based measures purporting to reflect investor sentiment, attention or uncertainty
have increasingly been used to model stock market behaviour. We investigate and shed …

This paper compares three models namely RiskMetrics's EWMA, ARMA-GARCH and
APARCH with normal and Student's t-distribution. These models have been applied to spot …

In this paper, we investigate the one-day-ahead VaR and ES accuracy of four metal daily
return series including Aluminium, Copper, Nickel and Zinc. Since, all sample presents …

This paper examines the impact of foreign exchange rate risk on the expected return of a
South African based investor's portfolio. We use the GARCH based Value at Risk (VaR) to …

In this paper, we focus on three daily exchange rate returns dynamics. Indeed, we have
assessed five GARCH-class models under three alternative distributions. Our findings …

Oil has become the principal source of energy for the majority of the world. But along with its
dominance, this commodity has experienced significant price volatility since the 1970s, and …

В данной статье сделан анализ моделей портфельной оптимизации, оценки
доходности и ликвидности ценных бумаг в условиях неопределённости. Предложена …

This study aims to compare the disclosure of Value at Risk (VaR) in market risk prediction
among banks in Indonesia. By employing comparative and analytical methods, this research …

Abstract The US Air Force seeks to measure and prioritize risk as part of its Capabilities
Review and Risk Assessment (CRRA) process. The goal of the CRRA is to identify capability …