Results 161 to 170 of about 48,841,878 (206)
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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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Expert Systems with Applications, 2012
We review various risk measures which have been introduced. By considering backward stochastic difference equations related to a single jump process, we define some risk measures related to the solutions. Some simple numerical examples are given.
Leo Shen, Robert J. Elliott
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We review various risk measures which have been introduced. By considering backward stochastic difference equations related to a single jump process, we define some risk measures related to the solutions. Some simple numerical examples are given.
Leo Shen, Robert J. Elliott
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Psychological Reports, 1969
Data supported the assumption that persons tend to view themselves as moderately risky vis-a-vis their peers. Ss tended to ascribe positions to their peers that were equal to or more cautious than their own and participation in group discussion enhanced the probability of this relative judgment.
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Data supported the assumption that persons tend to view themselves as moderately risky vis-a-vis their peers. Ss tended to ascribe positions to their peers that were equal to or more cautious than their own and participation in group discussion enhanced the probability of this relative judgment.
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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
openaire +1 more source
European Management Journal, 1996
Abstract Increasingly complicated tools known as financial derivatives have been introduced in recent times to manage the market risk arising from floating exchange rates. The rapid development of the derivatives markets has in turn introduced new risks into the business of finance - witness the highly-publicised trading losses at Metallgesellschaft ...
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Abstract Increasingly complicated tools known as financial derivatives have been introduced in recent times to manage the market risk arising from floating exchange rates. The rapid development of the derivatives markets has in turn introduced new risks into the business of finance - witness the highly-publicised trading losses at Metallgesellschaft ...
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, 2000 In this paper, we apply a collection of parametric (Normal, Normal GARCH, Student GARCH, RiskMetrics and high-frequency duration models) and non-parametric (empirical quantile, extreme distributions models) Value-at-Risk (VaR) techniques to intraday data for three stocks traded on the NewY ork Stock Exchange.
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ENERGY RISK MANAGEMENT BY VALUE-AT-RISK
How to Cope With Disrupted Times, 2018Model risk has an important effect on risk measurements. Indeed, the choice of the underlying probabilistic model can have a significant impact on the risk forecast. The hazard of producing poor risk assessments due to the choice of an unsuited model is known as “model risk”.
Gianfreda, Angelica, Scandolo, Giacomo
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Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk
ACM Transactions on Modeling and Computer Simulation, 2014Value-at-risk (VaR) and conditional value-at-risk (CVaR) are two widely used risk measures of large losses and are employed in the financial industry for risk management purposes. In practice, loss distributions typically do not have closed-form expressions, but they can often be simulated (i.e., random observations of the loss distribution may be ...
L. Jeff Hong, Zhaolin Hu, Guangwu Liu
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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 ...
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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 ...
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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.
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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