Browsing by Subject "value-at-risk"

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Open Access
Cash flow-at-risk in publicly traded non-financial firms in Turkey : an application in defense companies
(2004) Özvural, Özhan
People have always evaluated qualitative factors as black boxes so far. Academicians have put much effort to understand and explain these black boxes. The improvements in technology, therefore in social sciences, ease these efforts considerably. Risk is one of the qualitative factors, which drew people’s attention. As a result, some forecasting techniques have been developed to know the unknown. Risk means both profits and losses for people and firms. That is why, risk should be managed to exploit the profits and avoid the losses. Value-at-risk relying on the data about liquid assets was proposed to assist financial firms such as banks, insurance companies, and investment companies to manage their risks. Contrary to financial firms, non-financial firms have more illiquid assets. These firms used value-at-risk to manage their risks initially but the practical results were not satisfactory. Therefore value-at-risk should be revised and adjusted to the non-financial firms. Consequently cash-flow-at-risk concept was proposed to manage risk in non-financial firms. This study aims to apply cash flowat-risk concept in publicly traded non-financial firms in Turkey. The data drawn from financial statements were used because they helped to quantify risk in non-financial firms. The results of the study reveal that the proposed model can be used to asses all publicly traded non-financial firms’ risk exposure in Turkey for the next quarter
Open Access
Static and dynamic VaR constrained portfolios with application to delegated portfolio management
(2013) Pinar, M.Ç.
We give a closed-form solution to the single-period portfolio selection problem with a Value-at-Risk (VaR) constraint in the presence of a set of risky assets with multivariate normally distributed returns and the risk-less account, without short sales restrictions. The result allows to obtain a very simple, myopic dynamic portfolio policy in the multiple period version of the problem. We also consider mean-variance portfolios under a probabilistic chance (VaR) constraint and give an explicit solution. We use this solution to calculate explicitly the bonus of a portfolio manager to include a VaR constraint in his/her portfolio optimization, which we refer to as the price of a VaR constraint. © 2013 © 2013 Taylor & Francis.