نتایج جستجو برای: conditional value at risk
تعداد نتایج: 4771713 فیلتر نتایج به سال:
We propose an estimation procedure for value at risk (VaR) and expected shortfall (TailVaR) for conditional distributions of a time series of returns on a ̄nancial asset. Our approach combines a local polynomial estimator of conditional mean and volatility functions in a conditional heterocedastic autoregressive nonlinear (CHARN) model with Extreme Value Theory for estimating quantiles of the c...
The theory of copulae is known to provide a useful tool for modelling dependence in integrated risk management. In the present paper we review and extend some of the more recent results for finding distributional bounds for functions of dependent risks. As an example, the main emphasis is put on Value-at-Risk as a risk measure.
Value at Risk (VaR) has emerged in recent years as a standard tool to measure and control the risk of trading portfolios. Yet, existing theoretical analyses of the optimal behavior of a trader subject to VaR limits have produced a negative view of VaR as a risk-control tool. In particular, VaR limits have been found to induce increased risk exposure in some states and an increased probability o...
The standard approach to risk-averse control is use the exponential utility (EU) functional, which has been studied for several decades. Like other functionals, EU encodes risk aversion through an increasing convex mapping $\varphi$ o...
With the view of risks, this paper deals with problems maximum hands-off control which aims at minimizing length nonzero input. More specifically, we consider stochastic systems and seek sparse inputs that bring system state to a ball centered origin, such expected value states are further than given threshold from origin is small, thus risk outside ball. To deal problem, employ worst-case Cond...
Tail conditional expectations refer to the expected values of random variables conditioning on some tail events and are closely related to various coherent risk measures. In the univariate case, the tail conditional expectation is asymptotically proportional to the value-at-risk, a popular risk measure. The focus of this paper is on asymptotic relations between the multivariate tail conditional...
This article advocates workplace adult education and training researchers and scholar practitioners interested in career and technical education (CTE), adult education and technology, and who are attempting social and cultural critiques of workplace e-learning. The emphasis on the technological and artefactual in workplace e-learning research and study are not producing the expected learning ou...
This article deals with the Value at Risk concept as it is used in practice. We show that, like the Gaussian distribution, elliptical distributions lend themselves to simple practical computations. All necessary computations are detailed for the symmetric hyperbolic distributions. A test on real stock market and exchange rate data shows the new distributions fit the data better and outperform e...
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