value at risk also entails risk. 2 Recognizing the existence of estimation risk has several important consequences. For instance, users might want to set the confi dence level, usually set arbitrarily, to a value that will minimize the error in VAR. Or, the statistical methodology might...
Risk2: Measuring the Risk in Value at RiskPhilippe Jorion
This search has led to a uniform measure of risk called value at risk (VAR), which is the expected worst loss over a given horizon at a given confidence level. VAR numbers, however, are themselves affected by sampling variation, or "estimation risk" - thus, the risk in value at risk ...
Evidence to support that spontaneous preterm labor is adaptive in nature: neonatal RDS is more common in “indicated” than in “spontaneous” preterm birth. Objectives: The onset of preterm labor has been proposed to have survival value and to be adaptive in nature. This hypothesis would predict...
Measuring risk in Value-at-Risk based on Student's t-distribution. In Proceedings of the GfKl-Conference in Dresden 1998, pp. 453{459. Berlin, Springer.HUSCHENS, S., KIM, J.-R. (1999): Measuring Risk in Value-at-Risk based on Student’s t-distribution, in: Gaul, W., Locarek-...
Measuring the market risk of freight rates: a value-at-risk approach [J]. International Journal of Theoretical and Applied Finance, 2008, 11(5) : 447 - 469.Angelidis T,Skiadopoulos G S.Measuring the Market Risk of Freight Rates:A Value-at-Risk Approach. International Journal of Theoretical...
This risk arises as a result of the changes that may suffer the price of the assets that encompass a portfolio. One of the possible measures to quantify this risk is the evaluation of losses likely to be incurred when the price of the portfolio assets falls. This is what Value al Risk ...
The concept of value at risk (VaR) is a measure that is increasingly used for estimation of the maximum loss of financial position at a given time for a given probability. The aim of this manuscript is to show the most recent approaches for quantifying market risk. In particular, the ...
This reading on market risk management models covers various techniques used to manage therisk arising from market fluctuations in prices and rates. ■ Value at risk (VaR)在险价值is the minimum loss in either currency units or as a percent- age of portfolio value that would be expected to be...
Ultimately, we want to calculate VAR for a general portfolio of different assets, such as stocks, bonds, currencies, and options.[1] Let's focus on the sim... 被引量: 0发表: 1996年 VALUE AT RISK: A NEW METHODOLOGY FOR MEASURING PORTFOLIO RISK IN VARIOUS INDUSTRIES foreign exchange contra...