Results 271 to 280 of about 47,086,790 (308)

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 ...
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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.
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Risk, Value and Default

2014
This book is a vital text for understanding the interaction between enterprise risk management with corporate valuation and corporate default.
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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.
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Extremal Quantiles and Value-at-Risk

SSRN Electronic Journal, 2006
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
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Risk Measures: Value at Risk and beyond

2013
In the late 90s an increasing interest has been developing towards risk measures, in particular the Value at Risk (VaR) and the Conditional Value at Risk (CVaR). The use of such risk measures is due, on the one hand, to the rules imposed by the Basel Accord on the deposit of margins by banks and financial institutions because of the financial risks ...
Emanuela Rosazza Gianin, Carlo Sgarra
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Value at Risk and Extreme Values

IFAC Proceedings Volumes, 1998
Abstract this paper gives a general exposition of the subject of Value at Risk (VaR), which is now considered as a standard measure of market risks. It is defined as the maximal loss of the portfolio for a given probability over a given period. This measure is sensitive to the tails of the distribution of returns; extreme value theory is used here to
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Value at risk and inventory control

European Journal of Operational Research, 2005
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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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
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Risk Measurement: An Introduction to Value at Risk

1996
This paper is a self-contained introduction to the concept and methodology of "value at risk," which is a new tool for measuring an entity's exposure to market risk. We explain the concept of value at risk, and then describe in detail the three methods for computing it: historical simulation; the variance-covariance method; and Monte Carlo or ...
Linsmeier, Thomas J., Pearson, Neil D.
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