Value at Risk and Self–Similarity
نویسنده
چکیده
The concept of Value at Risk measures the “risk” of a portfolio and is a statement of the following form: With probability q the potential loss will not exceed the Value at Risk figure. It is in widespread use within the banking industry. It is common to derive the Value at Risk figure of d days from the one of one–day by multiplying with √ d. Obviously, this formula is right, if the changes in the value of the portfolio are normally distributed with stationary and independent increments. However, this formula is no longer valid, if arbitrary distributions are assumed. For example, if the distributions of the changes in the value of the portfolio are self–similar with Hurst coefficient H, the Value at Risk figure of one–day has to be multiplied by d in order to get the Value at Risk figure for d days. This paper investigates to which extent this formula (of multiplying by
منابع مشابه
Uncertainty Modeling of a Group Tourism Recommendation System Based on Pearson Similarity Criteria, Bayesian Network and Self-Organizing Map Clustering Algorithm
Group tourism is one of the most important tasks in tourist recommender systems. These systems, despite of the potential contradictions among the group's tastes, seek to provide joint suggestions to all members of the group, and propose recommendations that would allow the satisfaction of a group of users rather than individual user satisfaction. Another issue that has received less attention i...
متن کاملPresenting a model for Multiple-step-ahead-Forecasting of volatility and Conditional Value at Risk in fossil energy markets
Fossil energy markets have always been known as strategic and important markets. They have a significant impact on the macro economy and financial markets of the world. The nature of these markets are accompanied by sudden shocks and volatility in the prices. Therefore, they must be controlled and forecasted by using appropriate tools. This paper adopts the Generalized Auto Regressive Condition...
متن کاملOptimal Portfolio Selection for Tehran Stock Exchange Using Conditional, Partitioned and Worst-case Value at Risk Measures
This paper presents an optimal portfolio selection approach based on value at risk (VaR), conditional value at risk (CVaR), worst-case value at risk (WVaR) and partitioned value at risk (PVaR) measures as well as calculating these risk measures. Mathematical solution methods for solving these optimization problems are inadequate and very complex for a portfolio with high number of assets. For t...
متن کاملAn Examination of the Relationship between Values at Risk and Expected Stock Return in Tehran’s Stock Exchange
Abstract The main objective of this study was to examine the relationship between Value at Risk (VaR) and expected returns from 2002 to 2013 in Tehran’s Stock Exchange. In this study parametric value at risk, which considers the distribution of returns as normal and the historical value at risk as abnormal, was used to test the presence of the volatility anomaly in the companies listed i...
متن کاملEnvironmental risk assessment of a dam during construction phase
The present study was conducted to assess the possible risks induced by construction of Gavi Dam in Ilam Province; western part of Iran, using MIKE-11 model and technique for order of preference by similarity to ideal solution. For this purpose, vulnerable zone of the dam site against the flooding risk of Gavi River was calculated for different return periods. The flooding zones were stimulated...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2007