منابع مشابه
The Var at Risk
I show that the structure of the firm is not neutral in respect to regulatory capital budgeted under rules which are based on the Value-at-Risk.
متن کاملValue-at-risk (var)
VALUE-AT-RISK Value-at-Risk (VaR) measures the worst expected loss under normal market conditions over a specific time interval at a given confidence level. As one of our references states: “VaR answers the question: how much can I lose with x% probability over a pre-set horizon” (J.P. Morgan, RiskMetrics–Technical Document). Another way of expressing this is that VaR is the lowest quantile of ...
متن کاملCyVar: Extending Var-At-Risk to ICT
CyVar extends the Value-At-Risk statistics to ICT systems under attack by intelligent, goal oriented agents. CyVar is related to the time it takes an agent to acquire some access privileges and to the one it owns these privileges. To evaluate the former time, we use the security stress, a synthetic measure of the robustness of an ICT system. We approximate this measure through the Haruspex suit...
متن کاملIntroduction to VaR (Value-at-Risk)
The concept of Value-at-Risk is described. We discuss how this risk characteristic can be used for supervision and for internal control. Several parametric and non-parametric methods to measure Value-at-Risk are discussed. The non-parametric approach is represented by historical simulations and Monte-Carlo methods. Variance covariance and some analytical models are used to demonstrate the param...
متن کاملStructured Assessment of Risk Systems and Value at Risk (VaR)
An important question for corporate finance officers is whether risk management systems, such as Value at Risk (VaR), currently are producing accurate results. In contrast to previous research on assessing the accuracy of risk systems or VaR, which has focused on backtesting a large sample of historical observations, we provide tools for real-time assessment, using a time window that varies ada...
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ژورنال
عنوان ژورنال: International Journal of Theoretical and Applied Finance
سال: 2010
ISSN: 0219-0249,1793-6322
DOI: 10.1142/s0219024910005875