This book is a testament to (and hopefully a palliative for) the potentially complicated analytics value-at-risk measures require.根据风险价值衡量标准所需的通用性和/或复杂程度,它们可能难以实施。 本书证明了(并希望能缓解)风险价值指标分析所需的潜在复杂性。 Utilization of somevalue-at-risk limits ...
doi:10.1080/14697688.2013.819113Heng-Chih ChouDavid K. WangRoutledgeQuantitative FinanceEstimation of tail-related value-at-risk measures: range-based extreme value approach[J] . Heng-Chih Chou,David K. Wang.Quantitative Finance . 2014 (2)
欢迎收听金融风险管理的类最新章节声音“好听的英文TextBook【Value at Risk - Risk Measures】”。
Comparative Research of Value-at-Risk Measures 来自 知网 喜欢 0 阅读量: 22 作者:LI Xiu min,DJ Shi 摘要: Currently,there are many models to estimate value-atrisk,but different models often deduce different VaR values.In this paper,GARCH-GPD(generalized autoregressive conditional heteroskedasticity-...
COMPARING VALUE-AT-RISK MEASURES' ACCURACY the statistical validity of all the 6 methods and use the loss function evaluation to evaluate the performance and testing for superiority of the models... D Liu,J Zhang,D Yang - Systems Science & Systems Engineering-fourth International Conference on Sy...
In short, it measures the value of risk capital stocks in a given period at a certain probability of loss. This measurement can be modified for risk applications through, for example, the potential loss values affirmation in a certain amount of time during the economic life of the project- ...
aAIMS and OBJECTIVES 正在翻译,请等待...[translate] aThe approaches include the use of methodologies to quantify operational risk in dollar terms, similar to value-at-risk measures of market risk. 方法包括对方法学的用途定量操作的风险用美元术语,相似与市场风险价值在风险措施。[translate]...
Key Takeaways Value-at-risk (VaR) measures the downside investment risk of a single investment or an entire portfolio of investments. Backtesting is a technique used by risk managers to determine whether a VaR model is accurate. A number of possible causes should be taken into consideration whe...
In practice, VaR measures a... G Trzpiot,J Majewska - 《Operations Research & Decisions》 被引量: 9发表: 2010年 An analytical method of estimating Value-at-Risk on the Belgrade Stock Exchange This paper presents market risk evaluation for a portfolio consisting of shares that are continuously...
Histogram-valued data on value at risk measures: a symbolic approach for risk attribution[J] . Carole Toque,Virginie Terraza.Applied Economics Letters . 2014 (17)Toquea, C., & Terrazab, V. (2014). Histogram-valued data on value at risk measures: a symbolic approach for risk. Applied ...