Results 261 to 270 of about 47,086,790 (308)
The Journal of Derivatives, 1997 In the wake of recent failures of risk management, there has been a widespread call for improved quantification of the financial risks facing firms. At the forefront of this clamor has been Value at Risk. Previous research has identified differences in models, or Model Risk, as an important impediment to developing a Value at Risk standard. By contrast,
Christopher Marshall, Michael Siegel
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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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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
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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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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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, 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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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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