They indicate risk before its economic consequences are realized. Also like exposure metrics, 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 ...
Lin, Chu-Hsiung and Shan-Shan Shen (2006), “Can the student-t distribution provide accurate value at risk?,” The Journal of Risk Finance, 7(3), pp.292-300. :Lin, C., Shen, S. 2006, "Can the student-t distribution provide accurate value at risk?", The Journal of Risk Finance...
aA certain amount of stress is vital to provide motivation and give purpose to life. A certain amount of stress is vital to provide motivation and give purpose to life.[translate] a我的皮肤很白 My skin is very white[translate] aI will study my Bachelor’s Degree in Business Administration ...
We show how VaR?ES and their errors may be obtained in the case of Extreme Value Theory and provide a backtest for the developed model.关键词: Value-at-Risk Expected Shortfall Extreme value theory Backtest Peaks over threshold model
Derivative portfolio risk management using a value-at-risk\nframework In a continuously changing business environment accounting data have to provide useful information in order to achieve relevant and faithful representation... R Carandang 被引量: 4发表: 1997年 Tracking value-at-risk through derivativ...
A value-at-risk optimised policy offers an advantage when considering applications which do not allow for a large number of reiterations. They allow for specifying a confidence level regarding undesired scenarios. We state the underlying problem as a Markov decision process and provide a ...
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 ...
Value at Risk, including nonparametric and parametric methods. The emphasis thereby is always on application—something the target audience will know to appreciate. Pro- fessor Jorion also discusses estimation uncertainty and the need for backtesting ob- tained Value at Risk figures. Drawing from ...
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 ...
Using copulae to bound the Value-at-Risk for functions of dependent risks The theory of copulae is known to provide a useful tool for modelling dependence in integrated risk management. In the present paper we review and extend s... P Embrechts,A H?Ing,A Juri - 《Finance & Stochastics...