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Full-Text Articles in Business
Value At Risk In Dominican Banking: Evaluating The Regulatory Method, Jonathan Medina
Value At Risk In Dominican Banking: Evaluating The Regulatory Method, Jonathan Medina
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
Financial institutions in the Dominican Republic, since 2004, have used the regulatory Value at Risk to measure market risk. This method is subject to criticism. The purpose of this study is to compare the regulatory VaR method against the Historic Simulation, Generalized Autoregressive Conditional Heteroskedasticity, and Monte Carlo approaches. The latter is more conservative and its assumptions are more realistic.
The Effect Of Kurtosis On The Cross-Section Of Stock Returns, Abdullah Al Masud
The Effect Of Kurtosis On The Cross-Section Of Stock Returns, Abdullah Al Masud
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
In this study, I show an effect of the statistical fourth moment on stock returns. In the mean-variance framework, rational investors follow two strategies: optimize the mean{variance of return and diversify the portfolio. Regarding the first approach, investors intend to generate the maximum level of return while facing a constant level of risk (or, the standard deviation) of return. It is possible that firm specific risk can be concentrated in the portfolio. However, diversification of the assets can eliminate that (idiosyncratic) risk from the portfolio. After a long period of time, in a diversified portfolio the shape of the return …