Ref 《Value-at-Risk Theory and Practice》 In a context where risk taking is authorized, risk limits are bounds placed on that risk taking.在授权冒险的情况下,风险限制是对冒险的限制。Suppose a pensio…
Value at risk (VaR) is a well-known, commonly used risk assessment technique. The VaR calculation is a probability-based estimate of the minimum loss in dollar terms expected over a period. The data produced isused by investors to strategically make investment decisions. VaR is often criticized...
In this paper the prediction of Value-at-Risk by means of models accounting for higher moment dynamics is studied. We consider the GARCHDSK model, which allows for dynamic skewness and kurtosis, and compare its performance with that of several widely adopted models. The analysis is based on th...
This means that there’s a 5% chance that the value of the asset will decline in value by 4% during the one-month period that’s being assessed. Businesses can use a firm-wide value at risk assessment to determine the cumulative risks of the company’s aggregated investments, determining ...
value-at-risk 系统标签: riskvalueleptokurtosisvarheteroskedasticreturns Value-at-risk:TechniquestoAccountforLeptokurtosisand AsymmetricBehaviorinReturnsDistributions LindsayA.LechnerandTimothyC.Ovaert * * UniversityofNotreDame,NotreDame,IN,USA * Correspondingauthor:146Multi.Res.Bldg., NotreDame,IN,USA. +1-...
In the wake of recent failures of risk management, there has been a widespread call for improved quantification of the financial risks facing firms. At the forefront of this clamor has been Value at Risk. Previous research has identified differences in models, or Model Risk, as an important im...
such as bonds, shares, and currencies, and is used by banks and financial institutions to assess the profitability and risk of different investments, and allocate risk based on VaR. What Does a High VaR Mean? A high value for the confidence interval percentage means greater confidence in the ...
Value at RiskInvestmentsRiskAn individual investor typically assesses the risk of his portfolio by means of its asset mix—the proportion of stocks to bonds—or by the type of stocks it contains or sometimes by more sophisticated measures, such as its volatility. This article demonstrates an ...
A value-at-risk portfolio model under uncertainty is discussed. In the proposed model, randomness and fuzziness are evaluated, respectively, by the probabilistic expectation and the mean values with evaluation weights and λ-mean functions. The means, the variances and the measurements of imprecision...
1) Value at Risk 一般帕累托分布(GPD) 2) general 一般 1. According to ageneralmultipath propagation model of radio communication,this paper presents a stochastic spatio-temporal propagationgeneralmodel with MS based on the geometrically layered model and the Markov model. ...