value-at-risk metrics provide a reasonably consistent indication of risk. Finally, as long as utilization is calculated for traders in a timely and ongoing manner, it is reasonable to hold those traders accountable forvalue-at-risk
Attachment and Biobehavioral Catch-Up: An Intervention for Parents at Risk of Maltreating Their Infants and Toddlers When young children are abused or neglected, they have difficulty regulating behavior, physiology, and emotions. The parents of these children especially need to provide nurturing, synch...
How Accurate Are Value-at-Risk Models at Commercial Banks? In recent years, the trading accounts at large commercial banks have grown substantially and become progressively more diverse and complex. We provide desc... J Berkowitz,J O'Brien - 《Journal of Finance》 被引量: 1262发表: 2002年 ...
We provide evidence suggesting that the assumption on the probability distribution for return innovations is more influential for value゛t‐risk (VaR) perf... L Garcia㎎Orcano,A Novales - 《Journal of Forecasting》 被引量: 0发表: 2021年 A Comparison of the Risk Quantification in Traditional an...
Can the student-T distribution provide accurate value at risk?. Charoenrook A,Rockinger M. The Jornal of Risk Finance . 2007Lin C H, Shen S S. Can the Student--t Distribution Provide Accurate Value at Risk? [J]. The Journal of Risk Finance, 2006,7(3)....
Using Value-at-Risk to Estimate Downside Residential Market Risk A b s t r a c tConditional Value-at-Risk (VaR) is currently used by the banking industry to... C Jin,AJ Ziobrowski - 《Journal of Real Estate Research》 被引量: 21发表: 2011年 Can the student-t distribution provide ...
We show that expected shortfall requires a larger sample size than VaR to provide the same level of accuracy. Introduction Value-at-Risk (VaR) has become a standard risk measure for financial risk management due to its conceptual simplicity, ease of computation, and ready applicability. ...
In this paper, we provide an overview of studies comparing VaR and expected shortfall to draw practical implications for financial risk management. In particular, we illustrate how tail risk can bring serious practical problems in some cases. 展开 ...
Value_at_Risk_-_S ValueatRisk 1 TheQuestionBeingAskedinVaR “WhatlosslevelissuchthatweareX%confidentitwillnotbeexceededinNbusinessdays?”2 VaRandRegulatoryCapital RegulatorsbasethecapitaltheyrequirebankstokeeponVaRThemarket-riskcapitalisktimesthe10-day99%VaRwherekisatleast3.0 3 VaRvs.Expected...
How Accurate Are Value-at-Risk Models at Commercial Banks? In recent years, the trading accounts at large commercial banks have grown substantially and become progressively more diverse and complex. We provide desc... J Berkowitz,J O'Brien - 《Journal of Finance》 被引量: 1263发表: 2002年 ...