搜索结果: 1-5 共查到“世界经济学 VaR”相关记录5条 . 查询时间(0.125 秒)
Value at risk (VaR) is a risk measure that has been widely implemented by financial institutions. This paper measures the correlation among asset price changes implied from VaR calculation. Empirical ...
Risk, VaR, CVaR and their associated Portfolio Optimizations when Asset Returns have a Multivariate Student T Distribution
VaR CVaR Portfolio Optimization VaR Optimization CVaR Optimization Optimisation
2011/3/23
We show how to reduce the problem of computing VaR and CVaR with Student T return distributions to evaluation of analytical functions of the moments. This allows an analysis of the risk properties of ...
VaR方法及其在金融风险管理中的应用
VaR方法 风险管理
2011/8/26
随着金融市场的发展、金融产品的不断创新以及全球竞争的加剧，我国金融市场的风险将更为复杂和多样，如何对这些风险并进行有效管理各国金融机构及监管机构面临的重要难题，而VaR模型作为一种测定市场风险的工具，正日趋成为当前国际金融风险管理和金融监管的主流方法，受到了国际金融界的广泛支持和认可。故对VaR模型进行研究并探讨其在金融风险管理中的应用具有重要的现实意义。
Model Selection and Adaptive Markov chain Monte Carlo for Bayesian Cointegrated VAR model
Markov chain Monte Carlo Bayesian Cointegrated VAR model
2010/10/19
This paper develops a matrix-variate adaptive Markov chain Monte Carlo (MCMC) methodology for Bayesian Cointegrated Vector Auto Regressions (CVAR). We replace the popular approach to sampling Bayesia...
Nonparametric estimation of conditional VaR and expected shortfall
Boundary effects, Empirical likelihood, Expected shortfall, Local linear estimation,Nonparametric smoothing, Value-at-risk, Weighted double kernel
2011/4/2
This paper considers a new nonparametric estimation of conditional value-at-risk and expected shortfall functions. Conditional value-at-risk is estimated by inverting the weighted double kernel local ...