portfolio value-at-risk estimation
Recursive Quantile Estimation with Application to Value at Risk
... In this chapter, we study the performances of our Hybrid model as well as the EWSA and CAViaR models when applied to VaR estimation for some real data. In addition to investigations for simulated data, a real data ...
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Applyng copulas in econometrics estimate of portfolio value at risk
... freedom estimation, as, in fact, there are only two models that encompass degrees of ...the estimation of degrees of freedom, so the presence or not of degrees of freedom would have influence skewness in ...
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Filtered Extreme Value Theory for Value At Risk Estimation
... successful risk management function to estimate unexpected loss in ...Traditional value-at-risk models based on parametric models are not able to capture the extremes in emerging markets where high ...
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Estimation of portfolio efficient frontier by different measures of risk via DEA
... In historical simulation VaR is calculated based on what happened before. In this method there is no need to be aware of returns distributions over time. Simply returns are order in an ascend- ing way and preferred ...
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Using Value at Risk for effective energy portfolio risk management
... a risk management analysis is conducted, including the estimation of an individual or multiple VaR values, that more than one model is used for this ...a risk management ...
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Incorporating prediction and estimation risk in point-in-time credit portfolio models
... Der vorliegende Beitrag untersucht die Auswirkungen der Einbeziehung von Schätz- und Prognoserisiken in Kreditportfoliomodellen. Insbesondere geht es dabei um mögliche Veränderungen der Schadensverteilung sowie von ...
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Estimation risk effects on backtesting for parametric value-at-risk models
... The risk measure agreed to determine the amount of capital on hold was the Value-at-Risk ...trading portfolio for a period of time given a confidence ...the portfolio given agent’s ...
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Credit portfolio risk - modelling, estimation and backtesting
... a portfolio of defaultable discount bonds, and the value additivity of cash flows is valid, which presents a major benefit compared to the compound option ...time value of the recovery payment at ...
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The mean-Value at Risk static portfolio optimization using genetic algorithm
... static portfolio allocation based on historical Value at Risk (VaR) by using genetic algorithm ...of risk of extreme quantiles in modern finance. For estimation of historical static ...
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What is the “value” of value at risk in a simulated portfolio decision making game?
... the value of ...the value of VaR is to use Monte Carlo simulations from a given distribution of market ...the estimation the value of VaR are provided in Jorion ...
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Comparing univariate and multivariate models to forecast portfolio value-at-risk
... of portfolio returns; see Bauwens et ...the portfolio via a multivariate model can also lead to forecast improvements due to the use of more ...the estimation of multivariate models becomes more ...
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Measuring Portfolio Value at Risk
... density estimation method are seldom applied to the estimation of ...of portfolio returns and estimation is made based on the expected return and sample standard deviation: It is widely used ...
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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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Allocation Processes for Worst Scenarios in Fuzzy Asset Management Using Weighted Average Value-at-Risks
... a portfolio allocation model and we discuss the drastic decline of asset prices using ...average value-at-risks and their extension for fuzzy random variables and dynamic ...give estimation tools ...
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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 ...
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Investment Decisions in Global Financial Markets: the Experience of Lithuania
... According to Held et al. (2002) the three schools of globalization interact in the context of globalization. Hiperglobalists and sceptics submit their arguments that global capital markets have leaded the equalization of ...
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Determining the Optimal Portfolio Size on the Nairobi Securities Exchange
... be risk averse and when presented with two efficient portfolios with same expected return they will prefer the less risky ...optimal portfolio is the efficient portfolio which is most preferred by ...
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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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Minimization of Portfolio Risk using Three Different Methods (A Comparative Study)
... The first constraint (4) refers to that the expected return on the portfolio should equal to the target return determined by a portfolio manager. The second constraint (5) indicates that the weights of the ...
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Portfolio Optimization with Reward-Risk Ratio Measure based on the Conditional Value-at-Risk
... CVaR risk-reward ratio optimization (14) to an LP model, we can take ad- vantages of the LP duality to get a model formulation providing higher computational ...ratio portfolio optimization problems of ...
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