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Current volatility as a measure of market risk

Current volatility as a measure of market risk The article offers the author's approach to the definition of market risk and specifies its differences from the economic and financial risks. The necessity of taking into account the social component in the analysis of market risk is shown. Two different types of market risk are identified. Convincingly, the article shows the inconsistency of the use of the existing methods for measuring volatility as a measure of market risk, as defined in the article. The article puts forward a new kind of market volatility, which is qualitatively different from the types of volatility considered in the article. By means of the Grassberger-Procaccia entropy, we prove that the measure of current volatility proposed by the author can be adequately used as a measure of market risk. The algorithms of the current volatility measure's use as a quantitative measure of market risk of both types are offered. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png International Journal of Risk Assessment and Management Inderscience Publishers

Current volatility as a measure of market risk

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Publisher
Inderscience Publishers
Copyright
Copyright © Inderscience Enterprises Ltd
ISSN
1466-8297
eISSN
1741-5241
DOI
10.1504/IJRAM.2017.087903
Publisher site
See Article on Publisher Site

Abstract

The article offers the author's approach to the definition of market risk and specifies its differences from the economic and financial risks. The necessity of taking into account the social component in the analysis of market risk is shown. Two different types of market risk are identified. Convincingly, the article shows the inconsistency of the use of the existing methods for measuring volatility as a measure of market risk, as defined in the article. The article puts forward a new kind of market volatility, which is qualitatively different from the types of volatility considered in the article. By means of the Grassberger-Procaccia entropy, we prove that the measure of current volatility proposed by the author can be adequately used as a measure of market risk. The algorithms of the current volatility measure's use as a quantitative measure of market risk of both types are offered.

Journal

International Journal of Risk Assessment and ManagementInderscience Publishers

Published: Jan 1, 2017

There are no references for this article.