منابع مشابه
Value at Risk bounds for portfolios of non-normal returns
This paper studies Value at Risk (VaR) bounds for sums of stochastically dependent random variables, i.e. portfolios of correlated financial assets. The bounds hold under no restrictions on the dependence or on the marginal distributions of returns. An improvement of the bounds is given for positive (quadrant) dependent rvs. Both sets of bounds are computed for portfolios of 6 international ind...
متن کاملconditional copula-garch methods for value at risk of portfolio: the case of tehran stock exchange market
ارزش در معرض ریسک یکی از مهمترین معیارهای اندازه گیری ریسک در بنگاه های اقتصادی می باشد. برآورد دقیق ارزش در معرض ریسک موضوع بسیارمهمی می باشد و انحراف از آن می تواند موجب ورشکستگی و یا عدم تخصیص بهینه منابع یک بنگاه گردد. هدف اصلی این مطالعه بررسی کارایی روش copula-garch شرطی در برآورد ارزش در معرض ریسک پرتفویی متشکل از دو سهام می باشد و ارزش در معرض ریسک بدست آمده با روشهای سنتی برآورد ارزش د...
Measuring Value at Risk of Portfolios under the Edgeworth-
This paper sheds light on the evaluation of portfolio risk by assuming a distribution capable of incorporating the behaviour of most financial variables, especially at the tails: the so called Edgeworth-Sargan distribution. This density is preferable over other distributions, such as the Student’s t, when fitting high frequency financial variables, because of its flexibility for improving data ...
متن کاملWorst-Case Value at Risk of Nonlinear Portfolios
Portfolio optimization problems involving Value-at-Risk (VaR) are often computationally intractable and require complete information about the return distribution of the portfolio constituents, which is rarely available in practice. These difficulties are compounded when the portfolio contains derivatives. We develop two tractable conservative approximations for the VaR of a derivative portfoli...
متن کاملApproaches to Computing Value- At-risk for Equity Portfolios
Financial risks can be broadly classified into several categories, namely market risk, credit risk, liquidity risk, operational risk, and legal risk [1]. Market risk is the risk of loss arising from changes in the value of tradable or traded assets. Credit risk is the risk of loss due to the failure of the counterparty to pay the promised obligation. Liquidity risk is the risk of loss arising f...
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ژورنال
عنوان ژورنال: Spanish Journal of Finance and Accounting / Revista Española de Financiación y Contabilidad
سال: 2003
ISSN: 0210-2412,2332-0753
DOI: 10.1080/02102412.2003.10779482