Add to ORKGIn the financial analyses the fact of predicting future states of the instruments subjected to investments is extremely important. It allows reducing risk and maximizing potential profits. That is why any ways which enable to predict the further negative results of taking decisions are very important and the knowledge about the measures and their efficiency are an additional advantage. Thus, the paper in which value at risk and an assessment of this measure are discussed seems to be of interest
The article discusses the measurement of market risk by Value at Risk method. Value at Risk measure ...
Revised version of http://hdl.handle.net/2022/1037One of the implications of the creation of Basel C...
This chapter reviews the recent developments on the estimation of Value at Risk (VaR). VaR indicates...
textabstractAccurate prediction of the frequency of extreme events is of primary importance in many ...
The topic of the presented work is Value-at-Risk (VaR) and its estimation. VaR is a financial risk m...
AbstractThe present paper deals with quantifying a wide range of risks through techniques known as V...
The thesis compares an industry-standard parametric Value-at-Risk estimate with alternative approach...
Estimating financial risk measures for futures positions: a non-parametric approac
We propose a semi-parametric method for unconditional Value-at-Risk (VaR) evaluation. The largest ri...
Executive summary This paper proposes a new model for computing Value-at-Risk forecasts. The model i...
Value at Risk (VaR) is the regulatory measurement for assessing market risk. It reports the maximum ...
Value at Risk (VaR) is the regulatory measurement for assessing market risk. It reports the maximum ...
This paper presents non-parametric estimates of spectral risk measures applied to long and short pos...
The main goal of this work is to talk about some financial risks and to introduce some methods of me...
The article discusses the measurement of market risk by Value at Risk method. Value at Risk measure ...
The article discusses the measurement of market risk by Value at Risk method. Value at Risk measure ...
Revised version of http://hdl.handle.net/2022/1037One of the implications of the creation of Basel C...
This chapter reviews the recent developments on the estimation of Value at Risk (VaR). VaR indicates...
textabstractAccurate prediction of the frequency of extreme events is of primary importance in many ...
The topic of the presented work is Value-at-Risk (VaR) and its estimation. VaR is a financial risk m...
AbstractThe present paper deals with quantifying a wide range of risks through techniques known as V...
The thesis compares an industry-standard parametric Value-at-Risk estimate with alternative approach...
Estimating financial risk measures for futures positions: a non-parametric approac
We propose a semi-parametric method for unconditional Value-at-Risk (VaR) evaluation. The largest ri...
Executive summary This paper proposes a new model for computing Value-at-Risk forecasts. The model i...
Value at Risk (VaR) is the regulatory measurement for assessing market risk. It reports the maximum ...
Value at Risk (VaR) is the regulatory measurement for assessing market risk. It reports the maximum ...
This paper presents non-parametric estimates of spectral risk measures applied to long and short pos...
The main goal of this work is to talk about some financial risks and to introduce some methods of me...
The article discusses the measurement of market risk by Value at Risk method. Value at Risk measure ...
The article discusses the measurement of market risk by Value at Risk method. Value at Risk measure ...
Revised version of http://hdl.handle.net/2022/1037One of the implications of the creation of Basel C...
This chapter reviews the recent developments on the estimation of Value at Risk (VaR). VaR indicates...