Evaluation of Value-at-Risk for short term investment by using Cornish-Fisher expansion

Purpose: The objective of this study is to examine the relative contribution of firm-level, industry-level and country level variables to working capital at risk. Working capital at risk is treated as the value at risk for a portfolio of firm’s current assets. As far as short-term liquidity is concerned, working capital at risk, being the maximum amount that a firm may lose at a certain confidence interval, must be the most important part that a firm’s management must focus on. Design/methodology/approach: This study empirically examines the possible associations between wide range of variables and working capital at risk. The sample firms include 143 non-financial firms listed in Egypt stock exchange. The data cover the years 2000–2014. The statistical tests include the fixed and random effects, testing for linearity versus nonlinearity. The least squares dummy variables and discriminant analysis are utilized. The working capital at risk is classified into three levels: low, medium and high. Findings: The general findings of the study show that cash conversion cycle and the leverage are the most significant determinants of working capital at risk. Both determinants have significant influence on the level of volatility of working capital throughout the three categories of working capital at risk. Originality/value: This study offers a new approach that deals with working capital as a portfolio, rather than single ratios, that firm’s management must decrease its volatility (value at risk), therefore, short-term liquidity can be improved significantly. This approach can be considered a financial engineering in terms of monitoring and managing short-term liquidity exposure.

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Measuring value at risk using short-term and long-term memory of GARCH models based on switching approach to form an optimal stock portfolio

Iranian Journal of Finance ◽

10.30699/ijf.2021.123045 ◽

2021 ◽

Vol 5 (1) ◽

pp. 61-90

Author(s):

Shaghayegh Mahboubi Zadeh ◽

Hassan Ghalibaf Asl

Keyword(s):

At Risk ◽

Value At Risk ◽

Garch Models ◽

Long Term Memory ◽

Short Term ◽

Term Memory ◽

Stock Portfolio

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Forecasts of Value-at-Risk and Expected Shortfall in the Crude Oil Market: A Wavelet-Based Semiparametric Approach

Energies ◽

10.3390/en13143700 ◽

2020 ◽

Vol 13 (14) ◽

pp. 3700

Author(s):

Lu Yang ◽

Shigeyuki Hamori

Keyword(s):

At Risk ◽

Crude Oil ◽

Time Scales ◽

Hybrid Model ◽

Value At Risk ◽

Expected Shortfall ◽

Semiparametric Models ◽

Short Term ◽

Oil Market

We propose the use of wavelet-based semiparametric models for forecasting the value-at-risk (VaR) and expected shortfall (ES) in the crude oil market. We compared the forecast outcomes across different time scales for three semiparametric models, three nonparametric, distribution-based, generalized, autoregressive, conditional, heteroskedasticity (GARCH) models, and three rolling-window models. We found that the GARCH model estimated by the Fissler and Ziegel (FZ) zero loss minimization (GARCH-FZ) model performs the best at forecasting the VaR and ES in the short term, whereas the hybrid model performs the best for mid- and long-term time scales. Thus, long-term investors should consider the hybrid model and short-term investors should employ the GARCH-FZ model in their risk management processes. Overall, our proposed wavelet-based semiparametric models outperform the other models tested for all time scales and market conditions. As such, we suggest that these models are considered for the management of crude oil price risk and in the development of energy policy.

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Reduction of salivary cortisol and behavior problems in at-risk adopted children utilizing a short-term therapeutic intervention

PsycEXTRA Dataset ◽

10.1037/e618292011-002 ◽

2008 ◽

Author(s):

Karyn B. Purvis ◽

David R. Cross

Keyword(s):

At Risk ◽

Behavior Problems ◽

Therapeutic Intervention ◽

Salivary Cortisol ◽

Adopted Children ◽

Short Term ◽

And Behavior

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Pengaruh Investasi Asset Jangka Pendek Dan Aktiva Terhadap Laba Usaha Pada Pt. Taspen (Persero)

Gorontalo Accounting Journal ◽

10.32662/gaj.v1i1.69 ◽

2018 ◽

Vol 1 (1) ◽

pp. 21

Author(s):

Ilyas Lamuda

Keyword(s):

Return On Investment ◽

Quantitative Methods ◽

Linear Regression Analysis ◽

Multiple Linear Regression Analysis ◽

Rate Of Return ◽

Short Term ◽

Descriptive Data ◽

Short Term Investment ◽

Accounting Rate ◽

Positive Effect

This study was to determine the effect of Short-Term Investments and Assets Assets in generating profits in the company PT. Taspen. The method of analysis used qualitative methods That is explained and analyzed by descriptive data. Quantitative methods to study whether the Short-term investment is profitable or not, can be determined either by the method Accounting Rate Of Return (ARR) That method that measures the level of profit from investments used to gain tersebut.dan the return on investment assets at PT. Taspen. To test the hypothesis then performed calculations using multiple linear regression analysis. Furthermore pengelohan data and hypothesis testing will be assisted by a computer program Softwere SPSS (Statistical Service and Solution product).Research shows that variable Short Term Asset Investments concluded that simultaneous effect relationship is negative and insignificant. But in partial, it provides a significant and positive effect on earnings. Assets Investments variable and not significant positive effect on earnings, but in partial, it provides a significant and positive effect on earnings.

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