Value-at-RiskDiversificationDynamic conditional correlationCopulasA pervasive and puzzling feature of banks' Value-at-Risk (VaR) is its abnormally high level, which leads to excessive regulatory capital. A possible explanation for the tendency of commercial banks to overstate their VaR is that they ...
An overview of value at risk 来自 ResearchGate 喜欢 0 阅读量: 734 作者:D. Duffie,J. Pan 摘要: A pervasive and puzzling feature of banks' Value-at-Risk (VaR) is its abnormally high level, which leads to excessive regulatory capital. A possible explanation for the tendency of commercial ...
This section analyzes how the introduction of complete risk sharing arrangements affects the value of information in a production economy. Risk sharing arrangements are said to be complete, if the equilibrium risk allocation is efficient conditional on the information released at the interim date. ...
. EA/MH have also been very popular in PO, particularly when dealing with non-convex portfolio selection criteria and models (e.g., skewness/kurtosis, value at risk) as well as in cases where additional real features, such as cardinality constraints, are added in the analysis (Mansini, ...
The first and most highly emphasized benefit of agile marketing is an increased speed of delivering value. This is achieved through changes in the organizational structure and the way teams plan and execute marketing activities. Instead of grouping individuals by their function (e.g. creative, marke...
This overview topic presents the goals and components of asthma management. It is applicable to both children and adults. The recommendations are based upon major published asthma guidelines [1-4]. The diagnosis of asthma and more detailed management issues are reviewed separately. The management of...
(d) price fluctuations in futures markets must closely relate to fluctuations in the cash market value of assets, liabilities or services hedged. Thus, hedging is more than just enumeration of specific transactions and positions—it is a process of risk reduction. Prior to this definition, ...
Suppose a corporate bond has obtained a credit rating from Moody/S&P of value Ba3/BB−. Then the interest rate on the bond is calculated as the US treasury yield for the 10-year bond plus the default spread. In this case, it equals 2.73+4.13=6.86%. The default spread can vary for...
Since money loses value over time, due to inflation and other causes, over time, the interest rate payments made by a perpetual bond have less value to investors. The price of a perpetual bond is, therefore, the fixed interest payment, or coupon amount, divided by thediscount rate, with ...
The second problem is that I obviously don't understand the details and requirements of using multicolored plots. I have searched the documentation and have not found any articles that provide an overview of how to use multi colored indicators. While the first plot changes color correctly, the ...