منابع مشابه
Value-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 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 کاملRisco cardiovascular em nipobrasileiros
Objective:To evaluate the prevalence of risk factors for cardiovascular disease in Japanese-Brazilian subjects. Subjects and methods: One hundred thirty-one residents of the Mombuca community were studied. Statistical analysis was based on the X2 test, Fisher’s Exact test, Student’s t test, and ANOVA, at a 5% significance level. Results: The average age was 56.7 years-old; 76.3% had dyslipidemi...
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...
متن کاملGeneralized Extreme Value Distribution and Extreme Economic Value at Risk (EE-VaR) October 2007 Generalized Extreme Value Distribution and Extreme Economic Value at Risk (EE-VaR)
Ait-Sahalia and Lo (2000) and Panigirtzoglou and Skiadopoulos (2004) have argued that Economic VaR (E-VaR), calculated under the option market implied risk neutral density is a more relevant measure of risk than historically based VaR. As industry practice requires VaR at high confidence level of 99%, we propose Extreme Economic Value at Risk (EE-VaR) as a new risk measure, based on the General...
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ژورنال
عنوان ژورنال: Review of Business and Legal Sciences
سال: 2017
ISSN: 1646-1029
DOI: 10.26537/rebules.v0i13.901