Search results for "Value at Risk"

showing 7 items of 27 documents

Dynamics of a financial market index after a crash

2002

We discuss the statistical properties of index returns in a financial market just after a major market crash. The observed non-stationary behavior of index returns is characterized in terms of the exceedances over a given threshold. This characterization is analogous to the Omori law originally observed in geophysics. By performing numerical simulations and theoretical modelling, we show that the nonlinear behavior observed in real market crashes cannot be described by a GARCH(1,1) model. We also show that the time evolution of the Value at Risk observed just after a major crash is described by a power-law function lacking a typical scale.

Statistics and ProbabilityStatistical Finance (q-fin.ST)Index (economics)Actuarial scienceStatistical Mechanics (cond-mat.stat-mech)EconophysicsScale (ratio)Autoregressive conditional heteroskedasticityFinancial marketFOS: Physical sciencesQuantitative Finance - Statistical FinanceCrashFunction (mathematics)Condensed Matter PhysicsFOS: Economics and businessEconophysicsFinancial marketsCrashesValue at RiskEconometricsEconomicsCondensed Matter - Statistical MechanicsValue at riskPhysica A: Statistical Mechanics and its Applications
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Value at risk : eksponentiaalisesti painotettu historiallinen simulaatio

2014

Tämän tutkimuksen tarkoituksena oli toteuttaa Value at Risk-malleja vertaileva backtesting-tutkimus. Malleiksi valikoituivat perinteinen painottamaton historiallinen simulaatio ja eksponentiaalisesti painotettu historiallinen simulaatio. Tavoitteena oli tutkia kannattaako havaintoja painottaa koska molemmat mallit olivat siinä mielessä vertailukelpoisia, että painotettu malli toteutettuna painotuskertoimella 1, eli kaikki havainnot saavat saman painon vastaa painottamatonta variaatiota. Lähtökohtana oli, että painottaminen on kannattavaa koska painottamattomassa versiossa pienillä havaintomäärillä havaintojoukko ei ole edustava ja suurilla havaintomäärillä taas malli ei kykene huomioimaan m…

Value at RisktestitChristoffersenin testi
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VaR-menetelmän ennustustarkkuuden testaus sähkömarkkina-aineistolla

2001

backtestingriskienhallintaValue at Risksähkömarkkinat
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RiskMetrics-metodologian soveltuvuus metsäteollisuusyritykselle

2001

decay faktorimetsäteollisuusValue at RiskRiskMetricsyritykset
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The risk assessment of the investments in the companies belonging to the manufacturing industry in Romania, listed on the Bucharest Stock Exchange

2018

VaR represents an advanced model of risk management, appropriate for estimating the financial risk of a financial title taken individually or of a portfolio of titles. The research aims to quantify the maximum loss of the securities value, based on their daily closing prices, at a 5% relevance level, using the historical simulation method. The research sample consists of a number of 33 companies belonging to the manufacturing industry in Romania, listed on the Bucharest Stock Exchange, at standard and premium categories. Based on a number of 260 statistical observations, corresponding to the working days from the period 01.01.2016 - 31.12.2016, it was determined the maximum loss of value fo…

lcsh:HB1-3840Non -parametric historical simulation methodmaximum loss.Value at Risk (VaR)lcsh:HB71-74lcsh:Economic theory. Demographyclosing pricelcsh:Economics as a scienceportofolioBulletin of the Transilvania University of Brasov. Series V : Economic Sciences
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Äärimmäiset markkinamuutokset ja value at risk

2000

markkinariskiextreme valuevalue at riskestimointi
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Metsäteollisuusyrityksen Value at risk: menetelmävalinnan vaikutus tuloksiin

2001

valuuttavaluuttariskittalousValue at risk -menetelmäriskienhallintariskitkorko
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