standard Value-at-Risk
Estimation of Value at Risk: Extreme value and robust approaches
... Statisticians have already developed various sorts of robust statistical methods of estimation. In the literature, particular attention has been paid to estimators with: a high breakdown point (near 50%, but for ...
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CAS: Risk Transfer Testing of Reinsurance Contracts: A Summary of the Report by the CAS Research Working Party on Risk Transfer Testing
... on Risk Transfer ...gauging risk trans- fer that are superior to the standard “10-10” Value-at-risk (VaR) test commonly used: the expected reinsurer deficit (ERD) and right-tailed ...
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Value-at-Risk vs. Conditional Value-at-Risk in Risk Management and Optimization
... on standard deviation obtained by resampling, combined with VaR and drawdown constraints), thus allowing robust decision ...of risk measures to changes in decision variables, and the incremental impact of ...
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Risk Aversion and the Value of Risk to Life
... In this paper, we develop an alternative model, based on recursive von Neumann-Morgen- stern utility functions, which relaxes the additivity assumption and thereby introduces what we shall call mortality risk ...
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A Comparative Study of GARCH and EVT Model in Modeling Value at Risk
... of standard GARCH and EVT model has led us to think whether we could extend the existing models to better reflect the properties of financial market distributions, as well as to test the robustness of a ...
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A Value-at-risk framework for longevity trend risk
... 5.3 The stressed-trend approach produces a more intuitive set of results than the shock approach — capital requirements are greater at younger ages, where there is more scope for suffering from an adverse long-term ...
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Outcome of Very Low Birth Weight Infants: Multiple Gestation Versus Singletons
... Cognitive Outcome at School Age Related to Medi- cal Risk Factors, Social Risk Factor, and Gestation Type. Parameter Standard P Value[r] ...
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A Gentle Introduction to Value at Risk
... sound risk management plays an important role in many business ...suitable risk management policies 1 ...comprehensive risk-audit review, see Stulz ...the risk measurement of a fi- nancial ...
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Dynamic Value-at-Risk
... nowadays, Value-at-Risk has become one of the most important if not the most used measures of ...portfolio risk were developed very quickly from the traditional distribution of profit and loss to ...
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Parametric Value at Risk
... The standard parametric VaR of simulation 1 results in a disappointing ...that risk is even more underestimated for individual portfolios and shorter observation ...
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Value-at-Risk estimates
... industry, Value-at-Risk (VaR) has become a standard risk measurement technique in ...market risk of portfolios (Jorion, 2006), which is regarded as the maximum potential loss for a ...
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Risk management and regulatory aspects of life insurance companies with a special focus on disability insurance
... different risk measurements; Eling et ...the standard formula; Holzmüller (2009) focuses on the relationship between the United States’ risk-based capital standards, Solvency II, and the Swiss ...
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Assessing the Accuracy of Value at Risk
... A more powerful test, in the sense of requiring fewer observations for the same detection probability, results from using the entire estimated distribution of the portfolio gain. Diebold, Gunther, and Tay (1998) use this ...
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56 Wilmott magazine
... a standard risk metric calculated to assess the upper limit on losses incurred by a portfolio due to adverse market moves for a speci- fied confidence ...
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Value at risk, bank equity and credit risk
... Unser Beitrag untersucht lognormalverteiltes Kreditausfallrisiko auf der Grundlage der stochastischen Effektivverzinsung von Krediten. Er leitet den Zusammenhang zwischen optimaler Eigenkapitalunterlegung und Insol- ...
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Pope v. Illinois: Suggestions for Civil Regulations of Non-Obscene Pornographic Material and Adult Businesses
... As a result, it held that because Illinois adopted a stricter value standard, it may apply a statewide community standard to determine the value of the allegedly [r] ...
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Actuarial Teachers and Researchers Conference Investment Risk Management in the Tails of the Distributions. Chris Sutton 3 rd July 2008
... desired risk measure should ensure that the risk of first investment is smaller because the potential losses, reduced by the certain profit from riskless asset, of first investment should always be less ...
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Standard 2: Containing Risk of Bias
... Studies have revealed the methodo- logical shortcomings of pediatric trials. Meta-epidemiologic research provides evidence of the association between methodological features and exagger- ated treatment effect estimates. ...
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ENERGY TRADING RISK MANAGEMENT
... The program also needs to consider reporting in the initial business process redesign. How the organization plans to report on its data needs to be clearly understood and has to be included as a foundational element of ...
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Volume 03 Issue 06: (2016) June 2016
... the risk practices of Islamic banks. Those variables namely risk environment, policies and procedures, risk measurement, risk mitigation and risk monitoring as well as internal control ...
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