Value at risk (VaR) is one of the most widely used models in risk management. It is based on probability and statistics. VaR can be characterized as a maximum expected loss, given some time horizon and within a given confidence interval. Its utility is in providing a measure of risk that...
2009. "Value-at-risk Models". In T. G. Andersen, R. A. Davis, J.-P. Kreiss, and T. Mikosch, (eds.), Handbook of Financial Time Series. Berlin Heidelberg: Springer.Christoffersen, P.F. (2009), "Value-at-Risk Models", Handbook of Financial Time Series, 753-766....
Value–at–Risk Models 来自 Semantic Scholar 喜欢 0 阅读量: 120 作者: P Christoffersen 摘要: In this chapter, we build first a univariate and then a multivariate filtered historical simulation (FHS) model for financial risk management. Both the univariate and multivariate methods simulate fut ...
Value—at—Risk;回测检验;条件矩检验;鞅 Evaluating Value--at-·R isk m odels———A conditionalmom ent approach ZHANG Shu—lin (StatisticalSchool,SouthwesternUniversityofFinanceandEconomics,Chengdu611130,China) Abstract Theauthorproposesaconditionalmomenttestt0evaluateValue—at-Risk(VaR)models.The keyidea...
Value-at-Risk (VaR) is widely used as a tool for measuring the market risk of asset portfolios. However, alternative VaR implementations are known to yield fairly different VaR forecasts. Hence, every use of VaR requires choosing among alternative forecasting models. This paper undertakes two case...
Value at Risk In risk analysis, a method to measure the probability oflosson aninvestment. One calculates the value at risk by measuring the historicaltrendsandvolatilityof the investment. The method is used most often byinvestorsin highly volatile commodities, such as energy products. ...
3、GARCH Models 方法 简单而论,一般的自回归条件异方差模型,包括了RiskMetrics 方法,只要假定方差参数的一个特殊过程即可。最常用的模型是 GARCH (1,1),模型为: ARCH模型家族非常庞大,你可以参考Bollerslev, Chou and Kroner的文章:“ARCH Modeling in Finance” in the Journal of Econometrics (1992),这里有...
Value-at Risk Models, w. CD-ROM 来自 morebooks.de 喜欢 0 阅读量: 29 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 ...
at准确价值Howare风险风险价值模型AreValue 系统标签: modelsriskvalueaccuratevar风险 HowAccurateAreValue-at-RiskModelsatCommercialBanks?JEREMYBERKOWITZandJAMESO’BRIEN*ABSTRACTInrecentyears,thetradingaccountsatlargecommercialbankshavegrownsub-stantiallyandbecomeprogressivelymorediverseandcomplex.Weprovidedescrip-tivestati...
This study investigates the consequences of dynamics in the term structure of Dutch interest rates for the accurateness of value-at-risk models. Therefore, value-at-risk measures are calculated using both historical simulation, variance–covariance and Monte Carlo simulation methods. For a ten days ...