大家好,本次视频向大家介绍了重要的金融风险管理指标风险价值VaR(Value At Risk),以及用真实市场数据计算VaR的三种方式,即参数法、历史模拟法,以及蒙特卡洛模拟法,希望大家喜欢。, 视频播放量 20096、弹幕量 16、点赞数 758、投硬币枚数 347、收藏人数 1365、转发人
value at riskvariance‐covarianceThe main business of banks and insurance companies is risk. Banks and financial institutions lend money, running the risk of losing the lended amount, and they borrow "short money" having less risk but higher expected rates of return. Insurance companies on the ...
In this paper, two optimization criteria are developed including Value-at–risk (VaR) and Conditional-tail-expectation (CTE) to consider the optimal stop-loss reinsurance retentions for two dependent risks from the insurance point. 本文采用最小化在险价值(VaR)和尾部条件期望(CTE)的标准,从保险人...
Value-at-risk model Value-at-risk model Value-Based Billing Value-Based Cost Management Value-Based Cost Management System Value-Based Design Charrette Value-Based Distribution Reliability Assessment value-based insurance designs Value-Based Investing ...
16.Dynamic Value-at-Risk Based on Extreme Value Theory基于极值理论的动态风险价值的研究 17.Insured amount is decided in the light of the value of the insured goods when insurance is covered.保险金额按保险时保险货物的价值计算。 18.The Application of VaR in Risk Management of Life Insurance Compa...
2.Relative Value-at-Risk: A New Kind of Coherent Risk Measure;相对风险价值——一种新的一致风险度量 3.The Application of VaR in Risk Management of Life Insurance Company;风险价值方法(VaR)在寿险公司风险管理中的应用 4.Value-at-Risk Based on Extreme Value Theory;基于极值理论的风险价值(VaR)研究...
Value at risk (VaR) is the maximum potential loss expected on a portfolio over a given time period, using statistical methods to calculate a confidence level. (VaR is capitalized differently to distinguish it from VAR, which is used to denote variance.) VaR is widely used by financial ...
Safety-first criteria under conditional value-at-risk conditional value-at-risksafety-first criteriaIn this paper, we proposed a method and relevant results of determining the optimal portfolio, its corresponding... X Liu,Y Luo 被引量: 9发表: 2005年 Front-loaded contracts in health insurance mar...
Value-at-Risk (VaR) is one of the most widely accepted risk measures in the financial and insurance industries, yet efficient optimization of VaR remains a... K Natarajan,D Pachamanova,M Sim - INFORMS 被引量: 175发表: 2008年 Predictive value of cord blood IgE levels in 'at‐risk' new...
Value-at-risk (VaR) is increasingly being applied to problems in agriculture, especially valuation of crop insurance and agricultural lending risk exposure. VaR conveys the probability that losses exceeding a threshold will likely occur within a specified timeframe. However, it does not provide the ...