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Application of Monte Carlo simulation methods in risk management
Journal of Business Economics and Management, 2007 The paper deals with Monte Carlo simulation method and its application in Risk Management. The author with the help of MATLAB 7.0 introduces new modification of Monte Carlo algorithm aimed at fast and effective calculation of financial organization's ...
Alexander Suhobokov
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From Smile Asymptotics to Market Risk Measures [PDF]
, 2011 The left tail of the implied volatility skew, coming from quotes on out-of-the-money put options, can be thought to reflect the market's assessment of the risk of a huge drop in stock prices.
Artzner +25 more
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Confederation debt management since 1970
Swiss Journal of Economics and Statistics, 2019 This paper analyzes the Confederation’s debt management. The Confederation actively manages roll over and interest rate risk by increasing bond maturity with increasing marketable debt-to-GDP levels. It further engages in active but asymmetric, one-sided
Basil Guggenheim +2 more
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Model Risk and Basic Approaches to its Estimation on Example of Market Risk Models [PDF]
Финансовый журнал, 2022 Model risk is currently a topic of great interest both to the academic community and to the financial industry; however, there is not yet any generally accepted approach to measuring it as of now.
Andrey Yu. Nevela, Victor A. Lapshin
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Corvinus Journal of Sociology and Social Policy, 2023 Design. A vignette study was conducted to investigate hypotheses. In total 914 workers from the Netherlands responded to 4 different vignettes (n = 3656 vignettes). Purpose. Based on compensation hypothesis, this study formulates several hypotheses about the relationship between work insecurity and preferences for protection.
openaire +2 more sources
Computational Dynamic Market Risk Measures in Discrete Time Setting [PDF]
, 2013 Different approaches to defining dynamic market risk measures are available in the literature. Most are focused or derived from probability theory, economic behavior or dynamic programming.
Elliott, Robert J. +2 more
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Leveraging Bayesian Quadrature for Accurate and Fast Credit Valuation Adjustment Calculations
MathematicsCounterparty risk, which combines market and credit risks, gained prominence after the 2008 financial crisis due to its complexity and systemic implications.
Noureddine Lehdili +2 more
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Calculating Value at Risk: DCC-GARCH-Copula Approach [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2020 In this paper, in order to calculate portfolio market risk of 10 selected industries indices in Tehran Stock Exchange, two models of Value Risk (VaR) and Expected shortfall (ES) have been used.
Reza Taleblou, Mohammad Mahdi Davoudi
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ComputationThe market risk measurement of a trading portfolio in banks, specifically the practical implementation of the value-at-risk (VaR) and expected shortfall (ES) models, involves intensive recalls of the pricing engine.
N. Lehdili, P. Oswald, H. D. Nguyen
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Shipin gongye ke-jiA method for the simultaneous determination of benzimidazoles and their metabolites in dairy products was established using ultra high performance liquid chromatography-tandem mass spectrometry (MS).
Yongsheng QIAO +6 more
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