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بایگانی‌ها value-at-risk - مرجع آموزش بازار بورس و فارکس

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 […]

تاریخ : مارس 23rd, 0887
Exploring the Limitations of Value at Risk

Value at Risk in the early 1990s we witnessed a number of spectacular company failures attributed to the inappropriate use of derivatives and a lack of sufficient internal controls, e.g Orange County Metallgesellschaft Barings and Daiwa . Although in the decades before these events entire financial systems collapsed…. Value at Risk  

تاریخ : مارس 23rd, 0887
Fallon  W – Calculating Value At Risk

Value At Risk The value of a portfolio of financial assets is subject to many risks: credit risks, market risks, etc. \Value at Risk,VaR, is a statistical estimate of the market risk of a portfolio. VaR attempts to answer the following question. Given a certain confidence level and a specified time horizon, what is the […]

تاریخ : مارس 23rd, 0887
Hedge Fund Risk Factors and Value at Risk of Credit Trading Strategies

This paper analyzes the risk characteristics for various hedge fund strategies specializing in fixed income instruments. Because fixed income hedge fund strategies have exceptionally high autocorrelations in reported returns and this is taken as evidence of return smoothing, we first develop a method to completely eliminate any order of autocorrelation process across a wide array […]

تاریخ : مارس 23rd, 0887
Jaeckel P. Monte-Carlo methods in finance

An invaluable resource for quantitative analysts who need to run models that assist in option pricing and risk management. This concise, practical hands on guide to Monte Carlo simulation introduces standard and advanced methods to the increasing complexity of derivatives portfolios. Ranging from pricing more complex derivatives, such as American and Asian options, to measuring […]

تاریخ : مارس 23rd, 0887
How Large Is Liquidity Risk In An Automated

Liquidity Risk We introduce a new empirical methodology that takes account of \liquidity risk in a Value-at-Risk framework, and quantify \liquidity risk premiums for portfolios a n d individual stocks traded on the automated auction market Xetra which operates at various European exchange s. When constructing liquidity risk measures we allow for the potential price […]

تاریخ : مارس 23rd, 0846