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Optimization of enzyme-assisted extraction of polyphyllins from paris polyphylla var. yunnanensis rhizomes using response surface methodology. [PDF]
Sci RepDong L +5 more
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2016
In this work we focus on calculating the value at risk (VaR) for all types of assets and combinations of them (portfolios). We have studied the analytical methods for cumputing the VaR directly, but since this method is not always feassible (e.g. for certain bonds and options), we have also atempted VaR calculation through simulations for this type of ...
González Pons, Anna +1 more
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In this work we focus on calculating the value at risk (VaR) for all types of assets and combinations of them (portfolios). We have studied the analytical methods for cumputing the VaR directly, but since this method is not always feassible (e.g. for certain bonds and options), we have also atempted VaR calculation through simulations for this type of ...
González Pons, Anna +1 more
openaire +3 more sources
2010
In this chapter we review the main market risk measurement tool used in banking, known as value-at-risk (VaR). The review looks at the three main methodologies used to calculate VaR, as well as some of the key assumptions used in the calculations, including those on the normal distribution of returns, volatility levels and correlations. We also discuss
Moorad Choudhry +4 more
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In this chapter we review the main market risk measurement tool used in banking, known as value-at-risk (VaR). The review looks at the three main methodologies used to calculate VaR, as well as some of the key assumptions used in the calculations, including those on the normal distribution of returns, volatility levels and correlations. We also discuss
Moorad Choudhry +4 more
openaire +1 more source
Interpreting Value at Risk (VaR) forecasts
Economic Systems, 2008Abstract Value at Risk (VaR) forecasts have been increasingly accepted globally by both risk managers and regulators as a tool to identify and control exposure to financial market risk. However, modern portfolios are characterized by a constantly changing composition of security holdings that reflect portfolio managers’ strategies, expected prices ...
Allan W. Gregory, Jonathan J. Reeves
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BANKPEDIA REVIEW, 2013
The value at risk (VaR) measures the risk of loss associated to financial assets. For a given time period (normally ranging from 1 to 10 days), and with a given probability confidence (generally equal to 95% or 99%); this measure represents the maximum loss the investor can suffer when holding financial assets.
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The value at risk (VaR) measures the risk of loss associated to financial assets. For a given time period (normally ranging from 1 to 10 days), and with a given probability confidence (generally equal to 95% or 99%); this measure represents the maximum loss the investor can suffer when holding financial assets.
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Portfolio risk measurement based on value at risk (VaR)
AIP Conference Proceedings, 2018Generally, the risk level of an investment is directly correlated with the returns to be earned by investors in the future. In current situation, it is difficult for investors, shareholders and financial managers to determine the total loss of their asset portfolio because standard deviation is insufficient to describe the actual total loss. Therefore,
Farah Azaliney Mohd Amin +3 more
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VaR (Value at Risk) Model [PDF]
Romanian Statistical Review Supplement, 2012 The VaR model represents a significant progress in risk analysis, among the improvements it brings we can outline the attempt to measure risk itself in terms of an eventual loss, instead of focusing on gain-based approach.
Vergil VOINEAGU, Danut CULETU
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Artifactual unit root behavior of Value at risk (VaR)
Statistics & Probability Letters, 2016zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Chan, Ngai Hang, Sit, Tony
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Introduction to Var (Value-At-Risk)
1999Modern financial theory is based on several important principles, two of which are no-arbitrage and risk aversion. The single major source of profit is risk. The expected return depends heavily on the level of risk of an investment. Although the idea of risk seems to be intuitively clear, it is difficult to formalize it.
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