Value-at-risk
Testing and Comparing Value-at-Risk Measures
... Comparing Value-at-Risk Measures * Peter Christoffersen † , Jinyong Hahn ‡ , Atsushi Inoue § Résumé / Abstract La valeur exposée au risque (value at risk - VaR) est devenue un ...
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Uncertainty in historical Value-at-Risk: an alternative quantile-based risk measure
... often using the p th (p ∈ [0, 1]) percentile of the loss distribution. Typically the V aR is not known with certainty and needs to be estimated from sample estima- 5 tors of relevant observations. Bignozzi and Tsanakas ...
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Intraday Value at Risk (IVaR) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange
... market risk measurement. We propose an Intraday Value at Risk (IVaR) at different horizons based on irregularly time-spaced high-frequency data by using an intraday Monte Carlo ...
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Étude comparative du modèle GARCH (1,1) univarié et de la simulation historique dans les prévisions de "Value at risk" et "Expected Shortfall"
... Pour n’importe quel investisseur, il est primordial d’évaluer le risque et la perte potentielle qu’il pourrait encourir suite à une position d’investissement bien déterminée. Plusieurs mesures s’offrent à lui. Chacune a ...
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Liquidity-adjusted Intraday Value at Risk Modeling and Risk Management: an Application to Data from Deutsche Börse
... high-frequency risk measure, the Liquidity-adjusted Intraday Value at Risk ...the risk related to the liquidity ...liquidity risk on total risk, but also to provide an ...
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Valorisation d’options américaines et Value At Risk de portefeuille sur cluster de GPUs/CPUs hétérogène
... La Value At Risk d’un portefeuille peut être calculée pour deux semaines alors que l’estimation d’un portefeuille de couverture est souvent utilisée pour des opérations ...
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What about Underevaluating Operational Value at Risk in the Banking Sector?
... biased estimation of capital. Our method is thus a good alternative to the standard model, since it allows an accurate description of the tails of the severity distributions without ignoring the body. 6.3 Combination of ...
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Value at Risk Computation in a Non-Stationary Setting
... Value at Risk Computation in a Non-Stationary Setting Dominique GUEGAN 1 Abstract This chapter recalls the main tools useful to compute Value at Risk associated with a m- ...
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Backtesting Value-at-Risk: A Duration-Based Approach
... of Value-at-Risk as a portfolio risk measure can be criticized on several ...that risk managers ought to be interested in knowing the entire distribution of returns, and in particular ...
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Problems in time series and financial econometrics : linear methods for VARMA modelling, multivariate volatility analysis, causality and value-at-risk
... Key words: final equation form, information criterion, weak representation, impulse-response functions, dynamic conelation, Markov chain, indirect causality, vector autoregression, GARCH[r] ...
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Application of Supply Chain Risk Management through visualization and value-at-risk quantification
... Supply Chain Risk Management ("SCRM") is often discussed in business and academia but is still underdeveloped as a practical tool. Many studies have examined the effects[r] ...
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Conditional value-at-risk : aspects of modeling and estimation
... In this section we discuss modeling VaR and related Market Risk measures (MRMs) via conditional quantiles and other techniques.... In practical.[r] ...
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The VaR at Risk
... financial risk is undoubtedly the Value- at-Risk ...VaR at level 95% is defined as the minimal amount of capital which is required to cover the losses in 95% of ...the ...
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Caries risk/susceptibility assessment: its value in minimum intervention oral healthcare
... certainty at-risk patients and considering the evidence of the effectiveness of preventive measures for individuals at high risk is not always strong, Fontana et al considered that caries ...
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IT Outsourcing Risk Management at British Petroleum
... Disputes and litigations, costly contractual amendments, and loss of organizational competencies were next in order of importance in terms of risk exposure (6,5). Figure 1 BPX contract Potential disputes and ...
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Identifying new Risk Markers and Potential Targets: The Value of the Proteome
... have been evaluated over the last years but only a few of them have been validated for clinical use. Such predominantly negative findings highlight inherent difficulties of the biomarker discovery and validation, calling ...
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Decision-making in the manufacturing environment using a value-risk graph
... a value-risk graph ...A value-risk based decision-making tool is pro- posed for performance assessment of manufacturing scenar- ...qualitative risk statements) of stake- holders in any ...
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Capacity Factor Risk At Nuclear Power Plants
... Second, the database includes reactors managed in very different types of institutional settings. Just to illustrate, Table 3 breaks down the mean capacity factor by reactors operated in OECD countries and reactors ...
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Are Cities of Northern Europe at Risk ?
... seimic risk has been realised on Liege, Belgium, at the request of the Regional ...seismic risk of a city in a low seismicity ...define risk and static evaluations of connecting details in non ...
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Correlates of at-risk gambling behaviors of homeless youth
... Procedures Between April 2006 and May 2007, study interviewers recruited participants during regular visits to all major street youth agencies in Montreal (Canada). These included drop-in centers, emergency shelters, or ...
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