Search Results - subject:"variance covariance method"

Herausforderungen des finanziellen Risikomanagements : eine empirische Untersuchung des Value at Risk-Ansatzes in Stresssituationen

Barz, Till; Nastansky, Andreas - 2024

Die Quantifizierung und Begrenzung extremer Wertverluste sind von zentraler Bedeutung für das finanzielle Risikomanagement. Besonders während volatiler Marktphasen tendieren traditionelle Risikomaße dazu, Risiken fehlerhaft einzuschätzen. Die Arbeit untersucht die Risikomaße Value at Risk...

Persistent link: https://www.econbiz.de/10015121111

Value at Risk Model Used to Stock Prices Prediction

Gottwald, Radim - Provozně ekonomická fakulta, Mendelova Univerzita v Brnĕ - 2012

The focus of the author is the Value at Risk model which is currently often adopted as the risk analysis model, particularly in banking and insurance. Following the model principle characteristics, the Value at Risk is economically interpreted. Attention is paid to the distinct features of three...

Persistent link: https://www.econbiz.de/10011143782

VaR METODOLOGIJOS ANALIZĖ IR METODŲ PRAKTINIS TAIKYMAS

Rauktytė, Aidana - 2010

Magistro darbe nagrinėjamas šiuo metu vienas moderniausių rizikos matų – rizikos vertė (angl.Value-at-risk) Analizuojami trys pagrindiniai VaR rodiklio skaičiavimo metodai: variacijos/kovariacijos, istorinio modeliavimo ir Monte Karlo simuliacijos keliamų prielaidų, sudėtingumo ir...

Persistent link: https://www.econbiz.de/10009478310

Comparison of approaches for value-at-risk estimation of foreign exchange portfolios

Rimarčík, Marián - In: Politická ekonomie 2005 (2005) 3, pp. 323-336

. With minimal degree of simplification we can say that variance-covariance method using exponentially weighted averages with … considered. Since foreign exchange portfolio consists of linear instruments, historical simulation and the variance-covariance … method for VaR estimation were investigated. Performance of all approaches was evaluated using seven performance criteria …

Persistent link: https://www.econbiz.de/10005036597