Results 201 to 210 of about 3,030,006 (223)
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Distributionally robust reinsurance with Value-at-Risk and Conditional Value-at-Risk
Insurance: Mathematics and Economics, 2021zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Liu, Haiyan, Mao, Tiantian
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Financial Analysts Journal, 2000
This article is a self-contained introduction to the concept and methodology of value at risk (VAR), a recently developed tool for measuring an entity's exposure to market risk. We explain the concept of VAR and then describe in detail the three methods for computing it—historical simulation, the delta-normal method, and Monte Carlo simulation. We also
Thomas J. Linsmeier, Neil D. Pearson
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This article is a self-contained introduction to the concept and methodology of value at risk (VAR), a recently developed tool for measuring an entity's exposure to market risk. We explain the concept of VAR and then describe in detail the three methods for computing it—historical simulation, the delta-normal method, and Monte Carlo simulation. We also
Thomas J. Linsmeier, Neil D. Pearson
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SSRN Electronic Journal, 1999
Abstract Value-at-risk methods which employ a linear (“delta only”) approximation to the relation between instrument values and the underlying risk factors are unlikely to be robust when applied to portfolios containing non-linear contracts such as options.
Britten-Jones, Mark +1 more
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Abstract Value-at-risk methods which employ a linear (“delta only”) approximation to the relation between instrument values and the underlying risk factors are unlikely to be robust when applied to portfolios containing non-linear contracts such as options.
Britten-Jones, Mark +1 more
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The Management Accountant Journal, 2022
This article attempts to outline the conceptual under pinning, uses, advantages and limitations of “Value At Riskâ€, a popular risk metric, being used by banks and other financial institutions as a tool for risk management.
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This article attempts to outline the conceptual under pinning, uses, advantages and limitations of “Value At Riskâ€, a popular risk metric, being used by banks and other financial institutions as a tool for risk management.
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2004
The capital requirement from financial institutions is based on the amount of risk carried in their portfolios.
Jürgen Franke +2 more
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The capital requirement from financial institutions is based on the amount of risk carried in their portfolios.
Jürgen Franke +2 more
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SSRN Electronic Journal, 2014
The Value at risk (VaR) measure the risk of loss associated to financial assets. For a given time period (normally ranging from 1 to 10 years) and a with a given probability confidence (generally equal to 95 or 99%); this measure represents the maximum loss the investor can suffer when holding financial assets.
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The Value at risk (VaR) measure the risk of loss associated to financial assets. For a given time period (normally ranging from 1 to 10 years) and a with a given probability confidence (generally equal to 95 or 99%); this measure represents the maximum loss the investor can suffer when holding financial assets.
+4 more sources
2001
The Value-at-Risk (VaR) is probably the most known measure for quantifying and controlling the risk of a portfolio. The establishment of VaR is of central importance to a credit institute, since it is the basis for a regulatory notification technique and for required equity investments.
Jürgen Franke +2 more
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The Value-at-Risk (VaR) is probably the most known measure for quantifying and controlling the risk of a portfolio. The establishment of VaR is of central importance to a credit institute, since it is the basis for a regulatory notification technique and for required equity investments.
Jürgen Franke +2 more
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Vom Value at Risk zum Conditional Value at Risk
2003In diesem hinfuhrenden Abschnitt werden mehr oder weniger zufallig ausgewahlte Zitate von Beschreibungen bzw. Definitionen des Value at Risk aufgefuhrt. Sie stellen keine Voraussetzungen fur die nachfolgenden Ausfuhrungen dar, sie mogen vielmehr die Vielfalt der Aspekte und deren Breite verdeutlichen.
Werner Dinkelbach, Andreas Kleine
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2012
Διπλωματική εργασία - Οικονομικό Πανεπιστήμιο Αθηνών. ΜΠΣ, Τμήμα Στατιστικής (part-time)
Udo Broll, Jack E. Wahl
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Διπλωματική εργασία - Οικονομικό Πανεπιστήμιο Αθηνών. ΜΠΣ, Τμήμα Στατιστικής (part-time)
Udo Broll, Jack E. Wahl
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2021
Focusing on the creation of portfolios for investment, this chapter aims to understand the risks of the portfolio through methods such as the Value at Risk (VaR) to determine the possible loss or gain of a portfolio. This chapter is based on an investor view and the process for executing decisions that create profitable portfolios in the short and long
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Focusing on the creation of portfolios for investment, this chapter aims to understand the risks of the portfolio through methods such as the Value at Risk (VaR) to determine the possible loss or gain of a portfolio. This chapter is based on an investor view and the process for executing decisions that create profitable portfolios in the short and long
openaire +2 more sources