Risk Management Beyond VaR presented at the 2013 Financial Markets Conference
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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...
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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...
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