market risk measure
MARKET RISK MEASUREMENT
... • 1% VaR measures give the ‘1 day in 100’ loss level that is to be expected in normal market circumstances, if the portfolio were left unmanaged • In addition to portfolio VaR, efficient[r] ...
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MARKET RISK MEASUREMENT
... • Monte Carlo VaR is similar to historical VaR in that a set of scenarios on the risk factors are put into the option pricing functions to get a set of portfolio values, and then these p[r] ...
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Market liquidity risk: elusive no more : defining and quantifying market liquidity risk
... of the time horizon in order to be prudential and avoid potential misrepresentation of strategies derived from a model. However, we think that this might be too pessimistic. With our simplification we hope to strike the ...
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Behavioral approach to market and default risks modeling
... According to equation (0), VaR parametric estimation is reduced to the estimation of the mean , the volatility and the additional parameter , obviously with the distribution given a priori or already estimated. The new ...
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Property Market Research (Lecture Note 4)
... Market Reports, measure the risk and return risk and return for these for these property categories. Comment on the investment[r] ...
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How Superadditive Can a Risk Measure Be?
... From the perspective of risk management, Theorem 3.3 indicates that when assessing capital conservatively under dependence uncertainty, using ⇢ G A and using ⇢ G+ A would give roughly the same capital estimates. ...
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UNDERSTANDING THE GREEKS AND THEIR USE TO MEASURE RISK
... the market changes can be a difficult ...to measure the sensitivity of an option's price to quantifiable ...the risk and potential reward of an option ...
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Multiportfolio Optimization with CVaR Risk Measure
... of risk management have been studied in the vast majority of literature of modern portfolio ...of risk management involves various perspectives, from a mathematical perspective in financial industry, ...
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Diversification, Size and Risk: the Case of Bank Acquisitions of Nonbank Financial Firms
... idiosyncratic) risk for bank- securities deals. The risk increases are driven by deals that took place between 2007 and 2012, arguably reflecting changes in market perceptions on bank ...systemic ...
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Fixed Income Portfolio Management in Indian Banks
... the market yield rises too much you will have fear of loss of value of your investment and you would like to sell this ...the market yield is too high, you may expect it to fall as it happens in a cycle, ...
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Coherent risk measures, reserving, and transaction costs
... Such risk measures induce a set of claims X that are acceptable: the set of claims X for which no additional capital is required to take on claim X, ...a risk measure based on that ...each ...
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IS VALUE-AT-RISK (VAR) A FAIR PROXY FOR MARKET RISK UNDER CONDITIONS OF MARKET LEVERAGE?
... to market risk – the risk of loss due to changes in asset prices and the volatility of asset ...credit risk, market risk can lead to significant losses and ultimately to failure ...
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An Analysis of Internal and External Factors Affecting Jerasia Capital Berhad's Profitability Performance
... whereas risk indicators are selected as internal factors and macroeconomic factors are used as the external ...the market risk indicator, interest rate which under external factors will most ...
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Guidelines on Market Risk
... inadequate market liquidity may be, illiquid markets do not allow any trading close to quoted market ...quoted market prices are moving continuously, the prices relevant to the portfolio manager may ...
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A Measure of Switching Costs in the GB Electricity Retail Market
... Electricity Retail Market supported by borrowing from Green 2000’s model of customers’ choice between an entrant and an incumbent in the electricity retail market where the author assume[r] ...
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A Wavelet Based Method to Measure Stock Market Development
... In this paper, we introduce a novel algorithm, based on the wavelet transform, to measure stock market devel- opment. This algorithm is applied to the return series of fourteen worldwide market ...
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Option pricing under risk-exogenous measures in a fractional jump diffusion market
... jump-diffusion market model is given and a generalized fractional Ito formula is ...Girsanov measure transformation and introduce the concept of risk-exogenous ...discuss risk-exogenous ...of ...
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A Research on the Risk Measure of Chinese Copper Futures Market Based on VaR
... VaR risk measure of the asset ...VaR risk measure is not compatible, because of that the diversification will not necessarily spread ...
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Maximum Market Price of Longevity Risk Under Solvency Regimes: The Case Of Solvency II
... longevity risk from the risk margin for longevity implicit in the market-consistent evaluation of technical provisions under Solvency II ...longevity risk, are calculated as the sum of a best ...
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Pricing of reinsurance contracts in the presence of catastrophe bonds
... Undoubtedly, the most difficult part of applying this approach will be cali- brating the compound Poisson distribution to the market prices of cat bonds and historical loss frequency / severity data. However, this ...
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