Value-at-Risk (VaR)
Value at Risk versus Non Value at Risk Traders
... the Value-at-risk (VaR) as the reference for the decision-making demonstrated that individuals that take loss- aversion as a reference make quite different decisions from those individuals who are ...
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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 ...developed risk management systems this was a priori the only restriction set by the Basel Accord ...
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What is the “value” of value at risk in a simulated portfolio decision making game?
... In a number of papers (Steinbacher 2008a, b; 2009a, b), I simulated games of a portfolio decision-making under uncertainty and under different circumstances using models of social network with agents capable of ...
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Minimizing Conditional Value at Risk under Constraint on Expected Value
... Although Value-at-Risk is the most dominant risk measure used in practice, it fails one of the four general properties, proposed by Artzner et ...coherent risk measure should possess, namely ...
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Using Value at Risk for effective energy portfolio risk management
... at risk on behalf of the investor or any party directly affected by the price fluctuations of specific or multiple energy ...for risk managers to make one further step, determining the most robust and ...
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Assessing the Accuracy of Value at Risk
... implementing risk management systems to better understand and manage a firm’s ...These risk management systems often forecast the distribution of profit and loss, or “gain,” in an asset portfolio and ...
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Value at Risk in turbulence time
... of risk management by virtually all major financial institutions and ...this risk measure has failed to warn the market participants during the financial ...market risk - the failure of VaR measure ...
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Volatility, Duration, and Value-at-Risk
... The thesis consists of three essays dealing with the modeling of volatility in financial markets, trade durations, and Value-at-Risk (VaR). The first essay models nonlinearities in the return series to ...
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Optimal Value at Risk Disclosure
... ket risk charge through the use of a risk model developed internally by the financial ...the Value-at-Risk (VaR), follow certain rules that are defined under the Basel ...on, risk ...
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Estimating the Risk of Mutual Funds in Indonesia by Employing Value at Risk (VaR)
... with value- enhancing unobserved actions outperform funds with unobserved actions due to hidden ...the Value at Risk ...implementing Value at Risk (Alexander and Baptista, 2003; Allen ...
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Extreme Risk, Value-At-Risk And Expected Shortfall In The Gold Market
... Extreme value theory (EVT) has been widely applied in fields such as hydrology and ...tail risk measures such as Value-at-Risk (VaR) and Expected Shortfall ...
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Value at Risk, Expected Shortfall, and Marginal Risk Contribution
... of risk reporting, in which the term „standard deviation“ is replaced by the perhaps easier to understand term „Value at ...for risk management that high losses are far more probable in the stock ...
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Value at Risk Based on Time Varying Risk Tolerance Level
... of risk measures, which are commonly referred to as “tail-related risk measures” in the economic literature, is based on basics of fixing ex - ante a risk tolerance ...level. ...
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Value-at-risk under ambiguity aversion
... a risk exposure affording a risk management division to use Gaussian ...mean value and a standard deviation of 10% dur- ing the prescribed time ...the value of μ , that is, they are robust to ...
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Computationally intensive Value at Risk calculations
... in Value at Risk (Expected Shortfall) calculations? Recall, that the definition of VaR utilizes the quantiles of the portfolio re- turns distribution and not the returns distribution of individual assets in ...
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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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Multivariate Fréchet copulas and conditional value at risk
... coherent risk measure in the sense of Artzner et ...conditional value-at-risk vector measure, whose components coincide for the multivariate linear Spearman copula with the CVaR measures of the ...
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Credit Rationing Effects of Credit Value-at-Risk
... and risk-weighted capital adequacy requirements have been studied ...Credit risk model based Value-at-Risk (CVaR) constraint, when binding, induces credit rationing by ...
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Dynamic Value-at-Risk
... existing Value-at-Risk – related academic literature focuses mainly on measuring Value-at-Risk from different estimation methods to various calculation ...in Value-at-Risk ...
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Filtered Extreme Value Theory for Value At Risk Estimation
... parametric value-at-risk estimation ...that value-at-risk models do not give the proper risk estimation in volatile market conditions while the EVT has more successful prediction ...in ...
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