搜索结果: 1-15 共查到“Value at Risk”相关记录17条 . 查询时间(0.247 秒)
FROM CULTURAL PATH TO CULTURAL ROUTE: A VALUE-LED RISK MANAGEMENT METHOD FOR VIA IULIA AUGUSTA IN ALBENGA (ITALY)
Remote sensing Risk management method Cultural heritage Climate change Value assessment
2017/8/30
Today, the field of cultural heritage faces many challenges: cultural heritage is always at risk, the large amount of heritage information is often fragmented, climate change impacts cultural heritage...
Estimating the Value-at-Risk from High-frequency Data
Data augmentation Gibbs sampler Quadratic variation Time changed Brownian motion
2016/1/27
We present two alternative approaches for estimating VaR. Both approaches are based on the observation that each trading day is very diverse and we can observe K different phases of the trading day. W...
Bounds for the Sum of Dependent Risks and Worst Value-at-Risk with Monotone Marginal Densities
Complete mixability Monotone density Sum of dependent risks Value-at- Risk
2016/1/25
In quantitative risk management, it is important and challenging to find sharp bounds for the distribution of the sum of dependent risks with given marginal distributions, but an unspecified dependenc...
Bounds for the Sum of Dependent Risks and Worst Value-at-Risk with Monotone Marginal Densities
Complete mixability Monotone density Sum of dependent risks Value-at- Risk
2016/1/20
In quantitative risk management, it is important and challenging to find sharp bounds for the distribution of the sum of dependent risks with given marginal distributions, but an unspecified dependenc...
Capital and Value of Risk Transfer:Presented at Actuarial Approach for Financial Risks (AFIR) Colloquium,Boston,MA,November
Capital Risk and Uncertainty
2015/5/13
Capital and Value of Risk Transfer: Presented at Actuarial Approach for Financial Risks (AFIR) Colloquium,Boston,MA,November.
The availability of credit varies over the business cycle through shifts in the leverage of financial intermediaries. Empirically, we find that intermediary leverage is negatively aligned ...
Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework
exponential weighted moving average time -varying higher moments Cornish-Fisher expansion Gram -Charlier density risk management Value-at -Risk
2012/9/14
This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that joint...
The availability of credit varies over the business cycle through shifts in the
leverage of financial intermediaries. Empirically, we find that intermediary leverage is negatively aligned...
Conditional Value-at-Risk for Random Immediate Reward Variables in Markov Decision Processes
Markov Decision Processes Conditional Value-at-Risk Risk Optimal Policy Inventory Model
2013/1/30
We consider risk minimization problems for Markov decision processes. From a standpoint of making the risk of random reward variable at each time as small as possible, a risk measure is introduced usi...
Simultaneous determination of market value and risk premium in the valuation of firms
firm valuation DCF CAPM risk premium transfer pricing
2014/6/24
Valuing a firm using the discounted cash flow method (DCF) requires the joint determination of the market value of its equity (MVE) together with the equity risk premium (ERP) the firm should earn, si...
Transitional credit modelling and its relationship to market value at risk: an Australian sectoral perspective
Conditional value at risk Credit risk Industries Transition matrix Value at risk
2011/8/26
Internal credit risk modelling is important for banks for the calculation of capital adequacy in terms of the Basel Accords, and for the management of sectoral exposure. We examine Credit Value at Ris...
Multivariate heavy-tailed models for Value-at-Risk estimation
Multivariate heavy-tailed models Value-at-Risk estimation
2010/10/20
For purposes of Value-at-Risk estimation, we consider three multivariate families of heavy-tailed distributions, which can be seen as multidimensional versions of Paretian stable and Student's t distr...
COMPUTING THE PORTFOLLO CONDITIONAL VALUE-AT-RISK IN THE a-STABLE CASE
Stable distributions heavy tails coherent risk measures conditional value-at-risk
2009/9/18
The class of a-stable distributions is an attractive
probabilistic model of asset returns distribution in the field of finance.
When dealing with real issues, such ar optimal portfolio selection, it...
基于经验似然的Value-at-Risk模型的评价方法
Value-at-Risk 波动率 经验似然 设定检验 非嵌套检验
2009/8/31
Value-at-Risk (VaR)是度量市场风险的一个基本工具. 自从VaR概念提出以来, 涌现出大量方法用于VaR估计, 因此在统计意义下, 如何检验这些方法的有效性, 以及如何比较不同VaR模型从而选择出最好的方法, 就成为人们非常关注的问题. 本文提出了利用经验似然法来评估和比较不同的Value-at-Risk 模型. 模拟和实证分析表明经验似然方法比已有的方法有效和稳健.
Conditional Value-at-Risk Constraint and Loss Aversion Utility Functions
Risk measures Utility functions Nonexpected utility theory Maxmin Conditional Value-at-Risk Loss aversion
2010/11/1
We provide an economic interpretation of the practice consisting in incorporating risk measures as constraints in a classic expected return maximization problem. For what we call the infimum of expect...