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2020
Methodology VaR (value at risk) and its modifications are usual measures of risk in practice (e.g., it is one of the best used approaches to set up capital requirements when regulating capital adequacy in so-called internal models of banks). More generally, VaR is the key instrument for financial risk management, e.g., by means of commercial systems of
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Methodology VaR (value at risk) and its modifications are usual measures of risk in practice (e.g., it is one of the best used approaches to set up capital requirements when regulating capital adequacy in so-called internal models of banks). More generally, VaR is the key instrument for financial risk management, e.g., by means of commercial systems of
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2017
The rapid expansion of Apps and subsequently Apps marketing have now entered into a post-adoption stage, where technical characteristics and qualities such as visual design, user interfaces, and navigation become the determinants of consumer's intentions.
Gu Manli, Sajad Rezaei
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The rapid expansion of Apps and subsequently Apps marketing have now entered into a post-adoption stage, where technical characteristics and qualities such as visual design, user interfaces, and navigation become the determinants of consumer's intentions.
Gu Manli, Sajad Rezaei
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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
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Journal of Banking & Finance, 2002
Abstract The corporation is often viewed as a nexus of contracts. That view is slightly altered here. The corporation is viewed as a nexus of risks. The management of the corporation may then be thought of as the selection and management of the risks in a way that creates value.
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Abstract The corporation is often viewed as a nexus of contracts. That view is slightly altered here. The corporation is viewed as a nexus of risks. The management of the corporation may then be thought of as the selection and management of the risks in a way that creates value.
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Optimization of conditional value-at risk
, 2000R. Rockafellar, Stanislav P. Uryasev
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2004
The financial world has always been risky, but for a variety of reasons the risks have increased over the last few decades. One reason is an increase in volatility. Equity returns are more volatile, as can be seen in Figure 11.1 where the average absolute value of daily log returns of the S&P 500 has approximately doubled over the period from 1993 to ...
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The financial world has always been risky, but for a variety of reasons the risks have increased over the last few decades. One reason is an increase in volatility. Equity returns are more volatile, as can be seen in Figure 11.1 where the average absolute value of daily log returns of the S&P 500 has approximately doubled over the period from 1993 to ...
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2003
In mathematics, risk exists whenever there is uncertainty. A change in the value of one variable can lead to an increase or decrease in the value of a second variable. In finance risk is taken to be the risk that the monetary value of an asset will fall as a result of a change in some factor.
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In mathematics, risk exists whenever there is uncertainty. A change in the value of one variable can lead to an increase or decrease in the value of a second variable. In finance risk is taken to be the risk that the monetary value of an asset will fall as a result of a change in some factor.
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