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 ...
Do we understand the physics in the constitutive equation? The failure of some careful attemps to provide numerical solutions of the equations for non-Newtonian flow suggests to us some inadequacies of the constitu... JM Rallison,EJ Hinch - Journal of Non-Newtonian Fluid Mechanics 被引量: 236...
A Dynamic Risk Allocation of Value-at-Risks with Portfolios It is shown that the optimal value-at-risk is a solution of the optimality equation under a reasonable assumption, and an optimal trading strategy is ... Y Yoshida - 《J.adv.comput.intell.intell.informatics》 被引量: 0发表: 201...
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 ...
Bank Lending Policy, Credit Scoring and Value at Risk In this paper we apply a bivariate probit model to investigate the implications of bank lending policy. In the first equation we model the banks decision t... Jacobson, Tor,Roszbach, Kasper - 《Sse/efi Working Paper》 被引量: 350发表...
Bank Lending Policy, Credit Scoring and Value at Risk In this paper we apply a bivariate probit model to investigate the implications of bank lending policy. In the first equation we model the banks decision t... Jacobson, Tor,Roszbach, Kasper - 《Sse/efi Working Paper》 被引量: 351发表...
The total power, demanded by the consumer at any of the time slots, is determined by relationship (21). This equation takes into account the power generated by the solar PV system (Pω,tPV), demanded by the fixed loads (Pω,tD,Fix), controllable loads (Pω,tD,Shitf), the HVAC (P...
3) conditional value at risk(CVaR) 条件风险值 1. Under the assumption that the yield series is a strictly stationary process,we present an equation satisfied by value at risk(VaR) at time t given historical data and an analytic formula for conditional value at risk(CVaR). 该文在损益...
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. ...