Value at risk

Results: 893



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1Value-at-Risk and Expected Shortfall for Quadratic Portfolio of Securities with Mixture of Elliptic Distributed Risk Factors Jules SADEFO KAMDEM ∗† Laboratoire de Math´ematiques CNRS UMR 6056 Universit´e De Reims

Value-at-Risk and Expected Shortfall for Quadratic Portfolio of Securities with Mixture of Elliptic Distributed Risk Factors Jules SADEFO KAMDEM ∗† Laboratoire de Math´ematiques CNRS UMR 6056 Universit´e De Reims

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Source URL: comp-econ.org

Language: English - Date: 2005-02-07 17:59:50
    2EXAMINES DIFFERENT COMPUTATIONAL APPROACHES OF VALUE-AT-RISK (VAR) FOR BSE INDEX STOCKS OF SENSEX

    EXAMINES DIFFERENT COMPUTATIONAL APPROACHES OF VALUE-AT-RISK (VAR) FOR BSE INDEX STOCKS OF SENSEX

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    Source URL: www.icommercecentral.com

    Language: English
      3THE IMPLEMENTATION OF VALUE AT RISKBank of Israel Banking Review No), 61–87 61 THE IMPLEMENTATION OF VALUE AT RISK (VaR) IN ISRAEL’S BANKING SYSTEM BEN Z. SCHREIBER,* ZVI WIENER,** AND DAVID ZAKEN*

      THE IMPLEMENTATION OF VALUE AT RISKBank of Israel Banking Review No), 61–87 61 THE IMPLEMENTATION OF VALUE AT RISK (VaR) IN ISRAEL’S BANKING SYSTEM BEN Z. SCHREIBER,* ZVI WIENER,** AND DAVID ZAKEN*

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      Source URL: pluto.mscc.huji.ac.il

      - Date: 2014-02-02 05:57:49
        4European Finance Review 2: 189–193, 1999. © 1999 Kluwer Academic Publishers. Printed in the NetherlandsComment on ‘Non-Linear Value-at-Risk’

        European Finance Review 2: 189–193, 1999. © 1999 Kluwer Academic Publishers. Printed in the NetherlandsComment on ‘Non-Linear Value-at-Risk’

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        Source URL: pluto.mscc.huji.ac.il

        - Date: 2014-02-02 05:57:49
          5Proceedings of the International MultiConference of Engineers and Computer Scientists 2014 Vol II, IMECS 2014, March, 2014, Hong Kong Parallel Computation of Value at Risk using the Delta-Gamma Monte Carlo Approa

          Proceedings of the International MultiConference of Engineers and Computer Scientists 2014 Vol II, IMECS 2014, March, 2014, Hong Kong Parallel Computation of Value at Risk using the Delta-Gamma Monte Carlo Approa

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          Source URL: www.bpti.lt

          - Date: 2014-04-10 12:36:19
            6Forecasting Value-at-Risk under Temporal and Portfolio Aggregation Erik Kole* 1,4 , Thijs Markwat2 , Anne Opschoor3,4 , and Dick van Dijk1,4,5 1 Econometric Institute, Erasmus University Rotterdam

            Forecasting Value-at-Risk under Temporal and Portfolio Aggregation Erik Kole* 1,4 , Thijs Markwat2 , Anne Opschoor3,4 , and Dick van Dijk1,4,5 1 Econometric Institute, Erasmus University Rotterdam

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            Source URL: www.cb.cityu.edu.hk

            - Date: 2016-07-08 02:19:07
              7Backtesting Value-at-Risk: A Generalized Markov Framework∗ Thor Pajhede† October 20, 2015 Abstract Testing the validity of Value-at-Risk (VaR) forecasts, or backtesting, is an integral part of modern market

              Backtesting Value-at-Risk: A Generalized Markov Framework∗ Thor Pajhede† October 20, 2015 Abstract Testing the validity of Value-at-Risk (VaR) forecasts, or backtesting, is an integral part of modern market

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              Source URL: www.cb.cityu.edu.hk

              - Date: 2016-07-08 02:22:13
                8Worst-case Conditional Value-at-Risk Minimization for Hazardous Materials Transportation Iakovos Toumazis and Changhyun Kwon Department of Industrial and Systems Engineering, University at Buffalo, SUNY iakovost@buffalo.

                Worst-case Conditional Value-at-Risk Minimization for Hazardous Materials Transportation Iakovos Toumazis and Changhyun Kwon Department of Industrial and Systems Engineering, University at Buffalo, SUNY iakovost@buffalo.

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                Source URL: www.chkwon.net

                - Date: 2016-08-04 11:55:32
                  9Multiple-Period Market Risk Prediction under Long Memory: When VaR is Higher than Expected∗ Harald Kinateder† Niklas Wagner‡ Version: January 2014

                  Multiple-Period Market Risk Prediction under Long Memory: When VaR is Higher than Expected∗ Harald Kinateder† Niklas Wagner‡ Version: January 2014

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                  Source URL: www.wiwi.uni-passau.de

                  Language: English - Date: 2014-01-20 03:59:19
                  10Value–at–Risk Prediction: A Comparison of Alternative Strategies∗ Keith Kuestera a Stefan Mittnikb c d †

                  Value–at–Risk Prediction: A Comparison of Alternative Strategies∗ Keith Kuestera a Stefan Mittnikb c d †

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                  Source URL: www.keithkuester.eu

                  Language: English - Date: 2007-10-14 06:50:06