portfolio value-at-risk
Portfolio Value at Risk with Time Varying Copula: Evidence from the Americas
... Model risk in the estimation of value-at-risk is a challenging threat for the success of any financial ...model risk increases when the estimation process is constructed with a ...
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Analytical Portfolio Value at Risk
... shares portfolio and the market bonds portfolio such as in Campbell et ...the portfolio VaR and how would the proportions of the two portfolios influence this overall portfolio VaR? Usually, ...
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The Impact Made on Project Portfolio Optimisation by the Selection of Various Risk Measures
... of Value at Risk is that it provides quantitative benchmarks, which enables the estimation of interdependent fat tails and abnormal ...a risk constraint, while Yiu (2004) found it would result in the ...
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... nominal value, company name and followed by rights and obligations explained to each ...[4]. Value at Risk (VaR) is a market risk calculation method to determine the maximum loss risk ...
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Assessing Foreign Exchange Risk Associated to a Public Debt Portfolio in Ghana Using the Value at Risk Technique
... market risk on the basis of VaR using different ...of risk factors (interest rates, share prices and exchange rates), and then compared parametric and non-parametric methods of measuring ...of risk ...
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Studying the effects of USING GARCH-EVT-COPULA METHOD TO ESTIMATE VALUE AT RISK OF PORTFOLIO
... Extreme Value theory (EVT) which is a branch of statistics that studies rare or extreme events is well suited to describe the above-mentioned fat-tailed ...estimate portfolio VaR with assets’log-returns ...
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Minimization of Portfolio Risk using Three Different Methods (A Comparative Study)
... A risk minimization technique often used to reduce the probability that the portfolio will incur large ...exceeding Value-at-Risk (VaR) ...
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Measuring Operational Risk through Value at Risk Models (VaR) in Albanian Banking System
... of portfolio returns to simulate the VaR of the portfolio, based on the assumption that the portfolio will be maintained beyond the period covered by historical data ...
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Measuring Interest Rate Risk through Value at Risk Models (VaR) in Albanian Banking System
... 2003) Value at risk is a necessary component for risk calculation because it is a quantitative instrument where his objective is proper risk forecast with a reasonable ...individual ...
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Multivariate extremes at work for portfolio risk measurement
... compute risk measures for multi-indices portfolios. Specifically, the risk of the portfolios is studied from two directions: (i) multivariate stress testing and (ii) Monte-Carlo based risk ...
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Optimal Investment and Proportional Reinsurance with Risk Constraint
... the risk exposure, we impose a value-at-risk constraint on the portfolio, which results in a constrained sto- chastic optimal control ...the risk constraint on the optimal ...
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Acceptable Risk in a Portfolio Analysis
... W and W j represent the outcomes of agents i and j , while the coefficient κ = [ ] 0 , 1 denotes a level of omniscience of agents. This means that in every period an agent i does not choose the strategy that had in the ...
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Portfolio Optimization for Stock Market in Ghana Using Value-at-Risk (VaR)
... of portfolio returns [2, 9, 11, 13, ...alternative risk measures such as Value at Risk (VaR) to replace the ...of portfolio optimisation using varied methods of ...
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The mean-Value at Risk static portfolio optimization using genetic algorithm
... solving portfolio optimization problems based on different risk measures and/or additional ...GA portfolio optimization is given by Arnone, Loraschi, and Tettamanzi ...unconstrained portfolio ...
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Portfolio Optimization with Reward-Risk Ratio Measure based on the Conditional Value-at-Risk
... CVaR risk- reward ratio model in its primal form (24) the computation time were remarkably higher than those for the reward-risk ratio, resulting in 864, 1749, 5273 seconds on ...CVaR risk- reward ...
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What is the “value” of value at risk in a simulated portfolio decision making game?
... W + • and W t ( ) • represent wealth of an individual in time t and t + 1 , whereas ( ) • denotes the strategy played by an individual in time. Returns of stocks, denoted Cr and CSr , are exogenous to the individuals and ...
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On the economic risk capital of portfolio insurance
... market value of a portfolio of assets at some future date T ...of portfolio insur- ance is to protect this future market value in such a way that the fixed value or limit L is ...the ...
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Portfolio Construction for Value Appreciation
... current portfolio is re-balanced to be sector neutral, country neutral, and both sec- tor/country neutral, the resulting industry and country risk did not decrease much at all in absolute terms (see Chart ...
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The Global Financial Crisis and Equity Markets in Middle East Oil Exporting Countries
... Estimated risk values of VaR and ES indicate the percentage of a portfolio value that can be lost when an asset held for a single day with a probability of 5 percent (or 95% confidence level) 8 ...
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Allocation Processes for Worst Scenarios in Fuzzy Asset Management Using Weighted Average Value-at-Risks
... variance portfolio model, where the expected rewards are maximized and the risks are minimized, is studied by many researchers ...and value-at-risk (VaR) is used widely to estimate risks when asset ...
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