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Majumder, D. (2016) Proposing Model Based Risk Tolerance Level for Value-at-Risk—Is It a Better Alternative to BASEL’s Rule Based Strategy? Journal of Contemporary Management, 5, 71-85.

has been cited by the following article:

• TITLE: Value-at-Risk Based on Time-Varying Risk Tolerance Level

  AUTHORS: Debasish Majumder

  KEYWORDS: Value-at-Risk, Extreme Value Theory, Generalised Pareto Distribution, Tail-Related Risk Models

  JOURNAL NAME: Theoretical Economics Letters, Vol.8 No.1, January 29, 2018

  ABSTRACT: The conventional judgement-based method for fixing the risk tolerance level in the Value-at-Risk (VaR) model might be a suboptimal method, because the procedure induces the possibility of bias in risk measurement. Conversely, a superior risk management practice might be one, where input parameters are determined by a quantitative process which is “non-subjective to the risk modeller’s preferences”. Based on this insight, we have improved on the VaR model. Our model allows time variation of the risk tolerance level and so is suitable for scenario-wise risk analysis.