Value At Risk (VaR): Explanation & Calculation Value at Risk (VaR) is a financial metric that estimates the risk of an investment, a portfolio, or an entity, such as a fund or corporation. Specifically, VaR is a statistic that quantifies the extent of possible financial losses that could...
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 banks to overstate their VaR is that they incompletely account for the diversification effect among broad ...
This paper offers an explanation for the widespread phenomenon of uniform public schooling, which is viewed here as a way for the government to precommit i... M Gradstein - 《Journal of Monetary Economics》 被引量: 57发表: 2000年 Endogenous timing in general rent-seeking and conflict models...
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 banks to overstate their VaR is that they incompletely account for the diversification effect among broad ...
Value-at-risk estimates derived from extreme value data by fitting fat-tailed distributions can be so large that their validity is open to question. In thi
Value-at-Risk or VaR has been a widely-used risk measure in most financial institution. It plays important roles as an alarm for future potential risk and thus a preparation for capital allocation. An alternative measure considered is Expected Shortfall (ES). This may have more advantages than...
A Value at Risk Analysis of Credit Default Swaps We study the risk of holding credit default swaps (CDS) in the trading book. In particular, we compare the Value at Risk (VaR) of a CDS position to the VaR... B Raunig,M Scheicher - 《Social Science Electronic Publishing》...
No existing explanation - including a price of volatility risk - can completely explain the bias, but much of... CJ Neely - 《Social Science Research Network》 被引量: 0发表: 2003年 How risky is the debt in highly leveraged transactions? Corporations, Finance, Risk, Corporate debt, ...
Value-at Risk Models, w. CD-ROM 来自 morebooks.de 喜欢 0 阅读量: 31 作者: Carol Alexander 摘要: Volume 4: Value at Risk ModelsAs a set these books are a radical update and revision of Market Models: a Guide to Financial Data Analysis. They provide a rigorous explanation of the key ...
INVESTIGATION ON THE EXPLANATION CAPABILITY OF MODELS (ECONOMETRIST MODELS) AND, NEURAL NETWOR IN DETERMINATION OF VALUE AT RISK IN INVESTORS COMPANIES FOR... INVESTIGATION ON THE EXPLANATION CAPABILITY OF MODELS (ECONOMETRIST MODELS) AND, NEURAL NETWOR IN DETERMINATION OF VALUE AT RISK IN INVESTORS...