considerable resources to developing “value-at-risk” models to measure the potential losses in their trading portfolios. Modeling …

Value-at-Risk (VaR) approach.” (Jorion, 2001, p. 485). 11 Because VaR measures are computed under the assumption that the … for helpful comments. Abstract Value at Risk (VaR) has emerged in recent years as a standard tool to measure and control … traders by imposing limits on the risk of trading portfolios. Since Value at Risk (VaR) has gained in recent years increasing …

For the purpose of Value-at-Risk (VaR) analysis, a model for the return distribution is important because it describes …EMPIRICAL ISSUES IN VALUE-AT-RISK* BY DENNIS BAMS 1 AND JACCO L. WIELHOUWER 2 ABSTRACT For the purpose of Value-at-Risk … to model directly the relevant variable. KEY WORDS Value-at-Risk, Parameter Uncertainty, Time-varying volatility, Fat …

Based on the notions of value-at-risk and expected shortfall, we consider two functionals, abbreviated VaR and RaC … notions of value-at-risk and expected shortfall, we consider two functionals, abbreviated VaR and RaC, which represent the … differ- ent to previous expressions by Provost (1989) and Sim (1992). KEYWORDS Value-at-risk, expected shortfall, risk …

to the computation of Value at Risk are presented. Some qualitative deficiencies of the Cornish-Fisher-Expansion - the …

to the computation of Value at Risk are presented. Some qualitative deficiencies of the Cornish-Fisher-Expansion - the …

value-at-risk (VaR) figures. This extension is tested using a very intuitive implementation over a large sample of 2 …