Results 281 to 290 of about 49,838,108 (340)

Copulae and Value at Risk

2004
The capital requirement from financial institutions is based on the amount of risk carried in their portfolios.
Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner   +2 more
openaire   +1 more source

Value at Risk

Tools and Techniques for Financial Stability Analysis, 2018
Indranarain Ramlall
semanticscholar   +2 more sources

Value at Risk und Backtesting

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, Wolfgang Karl Härdle, Christian Matthias Hafner   +2 more
openaire   +1 more source

Expected Shortfall is jointly elicitable with Value at Risk - Implications for backtesting

, 2015
In this note, we comment on the relevance of elicitability for backtesting risk measure estimates. In particular, we propose the use of Diebold-Mariano tests, and show how they can be implemented for Expected Shortfall (ES), based on the recent result of
Tobias Fissler, J. Ziegel, T. Gneiting
semanticscholar   +1 more source

Valuing political risk

Journal of International Money and Finance, 1997
In this paper, I develop a model that measures the effects of political risk on the outcome of a foreign direct investment project as the value of an insurance policy that reimburses all losses resulting from the political event or events in question. The evolutionary process of political risk is explicitly defined and includes a stochastic element as ...
openaire   +1 more source

Stressed Value-at-Risk

2012 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr), 2012
Stressed Value at Risk (Stressed VAR) in its advanced framework provides a realistic measure of market risk tailored for stressed market environments. The simpler regulatory version of Stressed VAR is a special case. Stressed VAR corrects various deficits of ordinary VAR in times of market stress.
openaire   +2 more sources

Estimating value at risk and conditional value at risk for count variables

Quality and Reliability Engineering International, 2011
AbstractRisk management and risk measures like value at risk and conditional value at risk originated in the financial and insurance industries. In recent years, the interest in risk management and risk measurement has spread over all industrial sectors. Finance and insurance applications focused on continuous data like financial return, profit or loss.
openaire   +1 more source

Extremal Quantiles and Value-at-Risk

2007
This article looks at the theory and empirics of extremal quantiles in economics, in particular value-at-risk. The theory of extremes has gone through remarkable developments and produced valuable empirical findings in the last 20 years. In the discussion, we put a particular focus on conditional extremal quantile models and methods, which have ...
Victor Chernozhukov, Songzi Du
openaire   +1 more source

Value at risk and inventory control

European Journal of Operational Research, 2005
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +4 more sources

Vom Value at Risk zum Conditional Value at Risk

2003
In 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
openaire   +1 more source