Efficiency and Consistency Assessment of Value at Risk Methods for Selected Banks Data
Yakubu Musa, Iniabasi Emmanuel Etuk & S. U. Gulumbe · Journal of Advances in Mathematics and Computer Science · 2020
The study assesses Value at Risk (VaR) methods with respect to their efficiency and consistency in selected banks of the Nigeria Stock Market. The daily data on share prices of each bank was used from 2006 to 2018. The Value at Risk of each bank was estimated and the predictive p...
Open access
Research Article
10.9734/jamcs/2020/v35i230245