The Estimation of Value at Risk in Arab Capital Markets by Using Artificial Neural Networks / ANN
2008, Volume 30, Issue 89, Pages 111-138
The notion of value at risk has been seen as a method that can be broken down to demonstrate the facets of the risks in the business institutions especially the fanatical ones. The value at risk can generally be manipulated as an accurate module to estimate the worst loss expected through the temporal range founded under the market natural conditions on the one hand and the identified level of trust on the other.
The current study is subjected to the real financial notifications by markets. The generative notifications were from 1998 to the 12th of 2002 that represented 60 notification allocated to the revenues, the market prices and the merchant period and the artificial neural networks (ANN) has been used in order to testing hypothesis.
The most prominent results of the study are the difficulty to integrate the concepts of value and risk management that can never be true in all circumstances. This can be reflected to the formulation of decision-making process under the risk conditions.
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