Search Results - subject:"value‐at‐risk"

Bühlmann, Hans - International Actuarial Association / Actuarial Studies … - 2002

The model used in the technique of the Life Actuary is built oni) probabilities of insured events, e.g. death, survival, disablement...

Persistent link: https://www.econbiz.de/10005847060

Die Quantifizierung von Marktrisiken in der Tierproduktion mittels Value-at-Risk und Extreme-Value-Theory

Odening, Martin; Hinrichs, Jan - 2002

Die Quantifizierung von Marktrisiken in der Tier- produktion mittels Value-at-Risk und Extreme- Value …-Theory * Quantification of market risk in livestock production using Value-at-Risk and Extreme Value Theory Martin ODENING und Jan HINRICHS … Zusammenfassung Die Zielsetzung des Beitrages besteht darin, verschiedene Schätzver- fahren für das Risikomaß Value-at-Risk (VaR) am …

Persistent link: https://www.econbiz.de/10005849707

Derivatives of Value at Risk and Expected Shortfall

Rau-Bredow, Hans - 2002

Value at risk (VaR) is today the standard tool in risk management for banks and other financial institutions. … auf die Risikoübernahme, in: A. Oehler (Hrsg.), Credit Risk und Value-at-Risk Alternativen, Stuttgart, 1998, S. 111 …Value at Risk, Expected Shortfall, and Marginal Risk Contribution May 2002 Hans Rau-Bredow Priv.-Doz. Dr. oec. publ …

Persistent link: https://www.econbiz.de/10005850999

Disturbing Extremal Behavior of Spot Rate Dynamics

Bali, Turan G.; Neftci, Salih N. - Henley Business School, University of Reading - 2002

calculating value at risk by specifying the location and scale parameters of the generalized Pareto distribution as a function of …

Persistent link: https://www.econbiz.de/10005558326

Evaluation and Combination of Conditional Quantile Forecasts

Giacomini, Raffaella; Komunjer, Ivana - Department of Economics, University of California-San … - 2002

forecasts. An empirical application to the problem of Value at Risk evaluation illustrates the usefulness of the proposed …

Persistent link: https://www.econbiz.de/10010536374

Quantitative risk assessment in regulation

Lave, Lester B. (ed.) - 1982

Persistent link: https://www.econbiz.de/10013535085

Value at risk - proposals on a generalization

Schröder, Michael - 1996

Persistent link: https://www.econbiz.de/10013428053

A note on adjusting correlation matrices

Leon, A.; Peris, J. E.; Silva, J.; Subiza, B. - In: Applied Mathematical Finance 9 (2002) 1, pp. 61-67

Value-at-Risk in RiskMetrics for stress test scenarios. The solution proposed by the new methodology is always better than …

Persistent link: https://www.econbiz.de/10005495440

History of Value-at-Risk: 1922-1998

Holton, Glyn A. - EconWPA - 2002

Persistent link: https://www.econbiz.de/10005412547

Using copulae to bound the Value-at-Risk for functions of dependent risks

Embrechts, Paul; Höing, Andrea; Juri, Alessandro - In: Finance and Stochastics 7 (2003) 2, pp. 145-167

dependent risks. As an example, the main emphasis is put on Value-at-Risk as a risk measure. …

Persistent link: https://www.econbiz.de/10005759625