Research Communication | Open Access
Volume 2021 | Communication ID 230
Volume 2021 | Communication ID 230
| A new application of Robbins-Monro-Joseph's procedure for market risk management |
Ali Labriji
Received |
Accepted |
Published |
January 31, 2021 |
February 15, 2021 |
March 15, 2021 |
Abstract: Value at Risk (VAR) is a risk measure frequently used in market finance. This tool gives an idea of the losses that may occur to a financial asset but does not predict when these losses may occur. The objective of our work is to explain the VAR using the ROBBINS-MONRO-JOSEPH’s procedure for the estimation of a percentile, which is an improvement of the procedure in ROBBINS-MONRO, as a function of a systemic risk factor. We will also propose a method for applying the procedure without using real-time experiments. Then analyse the results of the convergence of the process, and see the impact ...