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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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Vom Value at Risk zum Conditional Value at Risk
2003In 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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2012
Διπλωματική εργασία - Οικονομικό Πανεπιστήμιο Αθηνών. ΜΠΣ, Τμήμα Στατιστικής (part-time)
Udo Broll, Jack E. Wahl
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Διπλωματική εργασία - Οικονομικό Πανεπιστήμιο Αθηνών. ΜΠΣ, Τμήμα Στατιστικής (part-time)
Udo Broll, Jack E. Wahl
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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
openaire +2 more sources
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
openaire +2 more sources
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
openaire +2 more sources
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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Risk sharing with Lambda value at risk
SSRN Electronic Journal, 2023In this paper, we study the risk-sharing problem among multiple agents using lambda value at risk ([Formula: see text]) as their preferences via the tool of inf-convolution, where [Formula: see text] is an extension of value at risk ([Formula: see text]).
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Set-valued average value at risk and its computation
, 2012New versions of the set-valued average value at risk for multivariate risks are introduced by generalizing the well-known certainty equivalent representation to the set-valued case.
A. Hamel, Birgit Rudloff, M. Yankova
semanticscholar +1 more source
Optimization of conditional value-at risk
, 2000R. Rockafellar, S. Uryasev
semanticscholar +1 more source