The paper reports on developing a value at risk (VaR) model with respect to a single risk factor. In the process, it shows how stochastic differential equation (SDE) and its variants can be considered as special cases of the VaR framework developed. Using VaR, the main result (equation) ...
consider the estimation of Value-at-Risk of a portfolio composed of two exchange rates by modeling the dependence between the exchange rates using a time-varying copula and analyse whether allowing the copula parameter to move according to an evolution equation provides better Value-at-Risk ...
If PV denotes the present value for a zero coupon bond asset Ai, T, the following equation holds: (3.19)PV(Ai,T,RT(x0))=Ai,Te−RT(x0)⋅T, where T is the maturity of the bond, while RT(x0) identifies the risk-free interest rate at time T, which is a function of the ...
Comparison and combination of two recent proposals for a generalized Penman equation Two recent proposals for the generalization of the Penman equation based on completely different calibration attempts appear to yield a strong basis for su... CJ Stigter - 《Quarterly Journal of the Royal Meteorologica...
Value at Risk (VaR) has become a standard measure of risk for financial institutions as well as central bank regulators. It is used to quantify the total market risk in a portfolio of financial assets. Hence to estimate VaR accurately is very important. The definition of VaR is the change ...
A numerical method is proposed to solve the HJB-equation and hence the optimal constrained portfolio allocation. Under this formulation, we find that investments in risky assets are optimally reduced by the imposed value-at-risk constraint. 2003 Elsevier B.V. All rights reserved. 展开 关键词:...
Under this formulation, we find that holdings in high risk inventory are optimally reduced by the imposed value-at-risk constraint. 展开 关键词: optimal portfolio inventory control value-at-risk HJB-equation DOI: 10.3934/jimo.2008.4.81 被引量: 3 ...
Thus, the resulting model was a GLM for binomial data with a logistic link function, with the equation $$\begin{array}{l}\log \Big(\Big.\frac{p\left({\rm{choose}}\,{\rm{offer }}\,2\right)}{p\left({\rm{choose}}\,{\rm{offer }}\,1\right)}\Big)={\beta }_{1}\left({...
The equation of value is a mathematical expression that equates the present value (at a particular time) of the constituent cash flows of a transaction to zero. From:Introduction to the Mathematics of Finance (Second Edition),2013 Discover other topics ...
Market value of equity can be compared to other valuations likebook valueandenterprise value. A company's enterprise value incorporates its market value of equity into the equation along with total debt minus cash and cash equivalents to provide a rough idea of a company's takeover valuation. ...