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

Variance Reduction Techniques for Estimating Value-at-Risk

Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez - In: Management Science 46 (2000) 10, pp. 1349-1364

simulation.Obtaining accurate estimates of such loss probabilities is essential to calculating value-at-risk, which is a quantile …

Persistent link: https://www.econbiz.de/10009209365

Closed Form Integration of Artificial Neural Networks With Some Applications to Finance

Gottschling, Andreas; Haefke, Christian; White, Halbert - 1999

Many economic and econometric applications require the integration of functions lacking a closed form antiderivative, which is therefore a task that can only be solved by numerical methods. We propose a new family of probability densities that can be used as substitutes and have the property of...

Persistent link: https://www.econbiz.de/10005843731

Kreditrisiko (CreditMetrics)

Heidorn, Thomas - 1999

Während die Markpreisrisiken (Zinsen, Aktien und Währungen) mit Hilfe des RiskMetrics-Ansatzes gut beschrieben werden können und dafür relativ überzeugende Derivate zur Absicherung unerwünschter Risiken zur Verfügung stehen, hat diese Entwicklung im Kreditbereich erst begonnen. Bei der...

Persistent link: https://www.econbiz.de/10010298859

Closed form integration of artificial neural networks with some applications

Gottschling, Andreas; Haefke, Christian; White, Halbert - 1999

estimation and may thus find a variety of applications, two of which are illustrated briefly: Estimation of Value at Risk based …

Persistent link: https://www.econbiz.de/10010301753

Value at Risk: On the Stability and Forecasting of the Variance-covariance Matrix

Engel, James; Gizycki, Marianne - Reserve Bank of Australia - 1999

Over the past decade value at risk (VaR) has become the most widely used technique for the quantification of market …

Persistent link: https://www.econbiz.de/10005426742

Sensitivity Analysis of Values at Risk

Gouriéroux, Christian; Laurent, J.P.; Scaillet, Olivier - Institut de Recherche Économique et Sociale (IRES), … - 1999

The aim of this paper is to analyze the sensitivity of Value at Risk (VaR) with respect to portfolio allocation. We … derive analytical expressions for the first and second derivatives of the Value at Risk, and explain how they can be used to … simplify statistical inference and to perform a local analysis of the Value at Risk. An empirical illustration of such an …

Persistent link: https://www.econbiz.de/10004985208

Kreditrisiko (CreditMetrics)

Heidorn, Thomas - Frankfurt School of Finance and Management - 1999

Persistent link: https://www.econbiz.de/10005027056

Phenomenology of the interest rate curve

Bouchaud, Jean-Philippe; Sagna, Nicolas; Cont, Rama; … - In: Applied Mathematical Finance 6 (1999) 3, pp. 209-232

'Value-at-Risk' type of pricing. The instantaneous FRC, however, departs from a simple square-root law. The deformation is …

Persistent link: https://www.econbiz.de/10005495402

On dynamic measures of risk

Karatzas, Ioannis; Cvitanic, Jaksa - In: Finance and Stochastics 3 (1999) 4, pp. 451-482

In the context of complete financial markets, we study dynamic measures of the form \[ \rho(x;C):=\sup_{\nu\in\D} \inf_{\pi(\cdot)\in\A(x)}{\bf E}_\nu\left(\frac{C-X^{x, \pi}(T)}{S_0(T)}\right)^+, \] for the risk associated with hedging a given liability C at time t = T. Here x is the initial...

Persistent link: https://www.econbiz.de/10005613418

Numerical integration of mean reverting stochastic systems with applications to interest rate term structure simulation

Morokoff, William - In: Applied Mathematical Finance 6 (1999) 1, pp. 19-28

A proof of convergence is presented for a simplified numerical integration method for solving systems of correlated stochastic differential equations describing mean reverting geometric Brownian motion. Such systems arise in modelling the time evolution of interest rate term structures. For time...

Persistent link: https://www.econbiz.de/10005141313