Correction to: Inaccurate Value at Risk Estimations: Bad Modeling or Inappropriate Data?
نویسندگان
چکیده
منابع مشابه
Value at Risk Estimation using the Kappa Distribution with Application to Insurance Data
The heavy tailed distributions have mostly been used for modeling the financial data. The kappa distribution has higher peak and heavier tail than the normal distribution. In this paper, we consider the estimation of the three unknown parameters of a Kappa distribution for evaluating the value at risk measure. The value at risk (VaR) as a quantile of a distribution is one of the import...
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In financial market risk measurement, Value-at-Risk (VaR) techniques have proven to be a very useful and popular tool. Unfortunately, most VaR estimation models suffer from major drawbacks: the lognormal (Gaussian) modeling of the returns does not take into account the observed fat tail distribution and the non-stationarity of the financial instruments severely limits the efficiency of the VaR ...
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ارزش در معرض ریسک یکی از مهمترین معیارهای اندازه گیری ریسک در بنگاه های اقتصادی می باشد. برآورد دقیق ارزش در معرض ریسک موضوع بسیارمهمی می باشد و انحراف از آن می تواند موجب ورشکستگی و یا عدم تخصیص بهینه منابع یک بنگاه گردد. هدف اصلی این مطالعه بررسی کارایی روش copula-garch شرطی در برآورد ارزش در معرض ریسک پرتفویی متشکل از دو سهام می باشد و ارزش در معرض ریسک بدست آمده با روشهای سنتی برآورد ارزش د...
using mgarch to estimate value at risk
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BACKGROUND Many treatments for Borderline Personality Disorder (BPD) are based upon the hypothesis that gross distortion in perceptions and attributions related to self and others represent a core mechanism for the enduring difficulties displayed by such patients. However, available experimental evidence of such distortions provides equivocal results, with some studies suggesting that BPD is re...
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ژورنال
عنوان ژورنال: Computational Economics
سال: 2021
ISSN: ['1572-9974', '0927-7099']
DOI: https://doi.org/10.1007/s10614-021-10182-x