Risk Management Beyond VaR presented at the 2013 Financial Markets Conference

نویسنده

  • David M. Rowe
چکیده

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Tail estimation and mean-VaR portfolio selection in markets subject to financial instability

Risk managers are increasingly required by international Regulatory Institutions to adopt accurate techniques for the measurement and control of portfolios financial risks. The task requires first the identification of the different risk sources affecting the portfolio and the measurement of their impact, then after: the adoption of appropriate portfolio strategies aimed at neutralising these r...

متن کامل

Estimation of Value at Risk (VaR) Based On Lévy-GARCH Models: Evidence from Tehran Stock Exchange

This paper aims to estimate the Value-at-Risk (VaR) using GARCH type models with improved return distribution. Value at Risk (VaR) is an essential benchmark for measuring the risk of financial markets quantitatively. The parametric method, historical simulation, and Monte Carlo simulation have been proposed in several financial mathematics and engineering studies to calculate VaR, that each of ...

متن کامل

Estimation methods for Value at Risk

In the last few decades, risk managers have truly experienced a revolution. The rapid increase in the usage of risk management techniques has spread well beyond derivatives and is totally changing the way institutions approach their financial risk. In response to the financial disasters of the early 1990s a new method called VaR (Value at Risk) was developed as a simple method to quantify marke...

متن کامل

The Two-sided Weibull Distribution and Forecasting Financial Tail Risk

A two-sided Weibull is developed to model the conditional financial return distribution, for the purpose of forecasting Value at Risk (VaR) and conditional VaR. A range of conditional return distributions are combined with four volatility specifications to forecast tail risk in four international markets, two exchange rates and one individual asset series, over a four year forecast period that ...

متن کامل

The effect of VaR-based risk management on asset prices and the volatility smile - CGFS conference volume No 2, part 18, October 2002

Value-at-risk (VaR) has become the standard criterion for assessing risk in the financial industry. Given the widespread usage of VaR, it becomes increasingly important to study the effects of VaR-based risk management on the prices of stocks and options. We solve a continuous-time asset pricing model, based on Lucas (1978) and Basak and Shapiro (2001), to investigate these effects. We find tha...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

عنوان ژورنال:

دوره   شماره 

صفحات  -

تاریخ انتشار 2013