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تعداد نتایج: 3718938 فیلتر نتایج به سال:
I show that the structure of the firm is not neutral in respect to regulatory capital budgeted under rules which are based on the Value-at-Risk.
In the last few decades, risk managers have truly experienced a revolution. The rapid increase in the usage of risk management techniques has spread well beyond derivatives and is totally changing the way institutions approach their financial risk. In response to the financial disasters of the early 1990s a new method called VaR (Value at Risk) was developed as a simple method to quantify marke...
for any educational program to be successful, many factors work hand in hand. based on pervious efl studies, teachers and learners are the keys to gain achievement. granted the fact that explicit and implicit practice plays a key role in education, knowledge of it can help teachers facilitate students’ vocabulary learning. this study investigated to determine the contribution of explicit and i...
the present study aims at identifying, classifying and analyzing collocation errors made by translators of the holy quran into english.findings indicated that collocationally the most acceptablt translation was done by ivring but the least appropriate one made by pickthall.
In this study, we analyze the aerospace stocks prices in order to characterize the sector behavior. The data analyzed cover the period from January 1987 to April 1999. We present a new index for the aerospace sector and we investigate the statistical characteristics of this index. Our results show that this index is well described by Tsallis distribution. We explore this result and modify the s...
The aim of this paper is to discuss the use of the Generalized Hyperbolic Distributions to fit Brazilian assets returns. Selected subclasses are compared regarding goodness of fit statistics and distances. Empirical results show that these distributions fit data well. Then we show how to use these distributions in value at risk estimation and derivative price computation.
This paper investigates optimal portfolio and wealth strategy of an institutional investor under the Value-at-Risk (VaR) constraint in an economy under jump diffusion. We show that overlooking or underestimating jump risk factor could be the cause of failure to satisfy the VaR constraint in the recent financial crisis for many financial institutions. We also find that the introduction of the ju...
In this paper, we introduce two alternative extensions of the classical univariate Value-at-Risk (VaR) in a multivariate setting. The two proposed multivariate VaR are vector-valued measures with the same dimension as the underlying risk portfolio. The lower-orthant VaR is constructed from level sets of multivariate distribution functions whereas the upper-orthant VaR is constructed from level ...
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