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

Differential Evolution for Multiobjective Portfolio Optimization

Krink, Thiemo; Paterlini, Sandra - Dipartimento di Economia "Marco Biagi", Università … - 2008

and maximize profit) and the objective functions are often multimodal and non smooth (e.g.: value at risk). Second …

Persistent link: https://www.econbiz.de/10005636169

A Method of Calculating the Downside Risk by Multivariate Nonnormal Distributions

Nagahara, Yuichi - In: Asia-Pacific Financial Markets 15 (2008) 3, pp. 175-184

Persistent link: https://www.econbiz.de/10005727093

Incorporating correlation regimes in an integrated stressed risk modeling process

Aragonés, José; Blanco, Carlos - In: Journal of Economics and Finance 32 (2008) 2, pp. 148-157

Persistent link: https://www.econbiz.de/10005598046

Expected utility inequalities: theory and applications

Zambrano, Eduardo - In: Economic Theory 36 (2008) 1, pp. 147-158

Persistent link: https://www.econbiz.de/10005753118

Dynamic Copula Modelling for Value at Risk

Fantazzini, Dean - In: Frontiers in Finance and Economics 5 (2008) 2, pp. 72-108

marginal distributions from the dependence structure and estimate portfolio Value-at-Risk, assuming for the risk factors a …

Persistent link: https://www.econbiz.de/10005760941

Semiparametric estimation of dynamic conditional expected shortfall models

Escanciano, Juan Carlos; Mayoral, Silvia - In: International Journal of Monetary Economics and Finance 1 (2008) 2, pp. 106-120

The paper proposes a simple estimator for a class of Conditional Expected Shortfall risk measures. The estimator is semiparametric, in the sense that it does not require a full specification of the conditional distribution of the data, and it is very simple to compute, being a least squares...

Persistent link: https://www.econbiz.de/10008538688

The Age of Turbulence - Credit Derivatives Style

Byström, Hans - Nationalekonomiska Institutionen, Ekonomihögskolan - 2008

portfolio Value at Risk estimates based on extreme value theory are found to be much more accurate than those based on normal or …

Persistent link: https://www.econbiz.de/10005190584

Hybrid Concepts of Long-Term Estimates for Value at Risk

Grzegorz, Mentel - In: Folia Oeconomica Stetinensia 7 (2008) 1, pp. 1-12

retirement funds. In the paper the theoretical aspects of risk assessment methodology with the use of <i>Value at Risk (VaR …

Persistent link: https://www.econbiz.de/10010534088

The performance of Asian airlines in the recent financial turmoil based on VaR and modified Sharpe ratio

Chuang, I-Yuan; Chiu, Yen-Chen; Edward Wang, C. - In: Journal of Air Transport Management 14 (2008) 5, pp. 257-262

Stock performance evaluation is an important subject widely studied for both theoretical and practical purposes. It is particularly relevant for the highly cyclical airline industry now in a financial crisis. Here it is shown that the use of conventional performance measures, such as the Sharpe...

Persistent link: https://www.econbiz.de/10010688231

Methods for Evaluating Value-at-Risk Estimates

López, José A. - Federal Reserve Bank <New York, NY>; London School of … - 1998

, see Federal Register[1996].) The market risk capital requirements are to bebased on the value-at-risk (VaR) estimates …FRBNY ECONOMIC POLICY REVIEW / OCTOBER 1998 119 Methods for Evaluating Value-at-Risk Estimates Jose A. Lopez I … market risk amendment, see Federal Register [1996].) The market risk capital requirements are to be based on the value-at-risk …

Persistent link: https://www.econbiz.de/10005870077