Financial Risk Management
نویسندگان
چکیده
منابع مشابه
Financial Risk Measurement for Financial Risk Management∗
Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or RiskMetrics. In contrast, we propose flexible methods that exploit recent developments in financial econometrics and are likely to produce more accurate risk assessments, treating both portfoliolevel and asset-level analysis. Asset-level analysis is particularly challenging becau...
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For many years, financial markets have been part of people’s everyday life. Information on the major securities can be found easily in the daily press or on internet. The different actors of the economy look closely at some fundamental parameters, such as interest rates, currency rates, stock prices..., which may affect the management of their firms, especially after the deregulation process in...
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The paper gives an overview of mathematical models and methods used in financial risk management; the main area of application is credit risk. A brief introduction explains the mathematical issues arising in the risk management of a portfolio of loans. The paper continues with a formal overview of credit risk management models and discusses axiomatic approaches to risk measurement. We close wit...
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Value-at-Risk (VaR) is increasingly used in portfolio risk measurement, risk capital allocation and performance attribution. Financial risk managers are therefore rightfully concerned with the precision of typical VaR techniques. The purpose of this paper is to assess the precision of common dynamic models and to quantify the magnitude of the estimation error by constructing confidence interval...
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A strategic optimization model provides the ideal setting for allocating the scarce capital of a financial intermediary such as an insurance company. The goal of management is to maximize shareholder value. Capital allocation serves three primary purposes: to compare managerial performance across business units, to provide a risk indicator for regulators and other stakeholders, and to develop a...
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ژورنال
عنوان ژورنال: Land Forces Academy Review
سال: 2017
ISSN: 2247-840X
DOI: 10.1515/raft-2017-0037