logo
ads
سفارش طراحی انواع اکسپرت و اندیکاتور
search

از بین هزاران مقاله ما جستجو کنید...

مجموعه آموزشی جامع فارکس

evaluation of value at risk models

evaluation of value at risk models
evaluation of value at risk models

Recent studies have underscored the need for market participants to develop reliable methods of measuring risk.One increasingly popular technique is the use of”value-at-risk”models,which convey estimates of market risk for an entire portfolio in one number.The author explores how well these models actually perform by applying twelve value at risk approaches to1000 randomly chosen foreign exchange […]

017

evaluation of value at risk models

Recent studies have underscored the need for market participants to develop reliable methods of measuring risk.One increasingly popular technique is the use of"value-at-risk"models,which convey estimates of market risk for an entire portfolio in one number.The author explores how well these models actually perform by applying twelve value at risk approaches to1000 randomly chosen foreign exchange portfolios.Using nine criteria to evaluate model performance,he finds that the approaches generally capture the risk that they set out to assess and tend to produce risk estimates that are similar in average size.No approach,however,appears to be superior by every measure.

   

بخش دانلود
  • عنوان مقاله : evaluation of value at risk models
  • نوع فایل : PDF
  • حجم فایل : 300 کیلوبایت

دانلود فایل