Add to ORKGComputation of value-at-risk: the fast convolution method, dimension reduction and perturbation theory Petter Wiberg Doctor of Philosophy Graduate Department of Computer Science University of Toronto 2002 Value-at-risk is a measure of market risk for a portfolio. Market risk is the chance that the portfolio declines in value due to changes in market variables. This thesis is about the computation of value-at-risk for portfolios with derivatives and for models for returns that have a distribution with fat tails
This paper provides an analytical method for computing value at risk, and other risk measures, for p...
This chapter recalls the main tools useful to compute Value at Risk associated with a m-dimensional ...
Value at Risk (VaR) is one of the most popular tools used to estimate exposure to market risks, and ...
In this paper, we introduce a new Fourier method for computing value-at-risk for a portfolio with de...
Risk management is practiced in many financial institutions and one of the most commonly used risk m...
Value-at-risk (VaR) is a measure of market risk that has been widely adopted since the mid-1990s for...
ABSTRACTThe thesis work documented here, is a study of basic methods for estimating Value at Risk, w...
The Value-at-Risk (V@R) is an important and widely used measure of the extent to which a given portf...
AbstractThe present paper deals with quantifying a wide range of risks through techniques known as V...
The topic of the presented work is Value-at-Risk (VaR) and its estimation. VaR is a financial risk m...
This document summarizes the steps for calculating Value-at-Risk (VaR) for a portfolio of equity ass...
This thesis is focused on a theoretical explication of the basic methods of the calculation Value at...
This thesis intends to examine a risk measure used for estimating a potential future loss. The risk ...
In this dissertation, we study the application of risk measures to portfolio optimisation. A risk me...
This diploma thesis studies extreme value theory and its application in finan- cial risk management,...
This paper provides an analytical method for computing value at risk, and other risk measures, for p...
This chapter recalls the main tools useful to compute Value at Risk associated with a m-dimensional ...
Value at Risk (VaR) is one of the most popular tools used to estimate exposure to market risks, and ...
In this paper, we introduce a new Fourier method for computing value-at-risk for a portfolio with de...
Risk management is practiced in many financial institutions and one of the most commonly used risk m...
Value-at-risk (VaR) is a measure of market risk that has been widely adopted since the mid-1990s for...
ABSTRACTThe thesis work documented here, is a study of basic methods for estimating Value at Risk, w...
The Value-at-Risk (V@R) is an important and widely used measure of the extent to which a given portf...
AbstractThe present paper deals with quantifying a wide range of risks through techniques known as V...
The topic of the presented work is Value-at-Risk (VaR) and its estimation. VaR is a financial risk m...
This document summarizes the steps for calculating Value-at-Risk (VaR) for a portfolio of equity ass...
This thesis is focused on a theoretical explication of the basic methods of the calculation Value at...
This thesis intends to examine a risk measure used for estimating a potential future loss. The risk ...
In this dissertation, we study the application of risk measures to portfolio optimisation. A risk me...
This diploma thesis studies extreme value theory and its application in finan- cial risk management,...
This paper provides an analytical method for computing value at risk, and other risk measures, for p...
This chapter recalls the main tools useful to compute Value at Risk associated with a m-dimensional ...
Value at Risk (VaR) is one of the most popular tools used to estimate exposure to market risks, and ...