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No exact match found for Value‐at‐Risk, using Value at Risk instead...
Results overview: Found 4 records in 0.03 seconds.
Articles, 3 records found
Research literature, 1 records found
Articles 3 records found  
1.
14 p, 847.9 KB Tail risk measures using flexible parametric distributions / Sarabia, José María (Universidad de Cantabria. Departamento de Economía) ; Guillén, Montserrat (Universitat de Barcelona. Departament d'Econometria) ; Chuliá, Helena (Universitat de Barcelona. Departament d'Econometria) ; Prieto, Faustino (Universidad de Cantabria. Departamento de Economía)
We propose a new type of risk measure for non-negative random variables that focuses on the tail of the distribution. The measure is inspired in general parametric distributions that are well-known in the statistical analysis of the size of income. [...]
2019 - 10.2436/20.8080.02.86
SORT : statistics and operations research transactions, Vol. 43 Núm. 2 (July-December 2019) , p. 223-236  
Detailed record - Creative Commons
2.
18 p, 986.2 KB Modelling extreme values by the residual coefficient of variation / Castillo, Joan del (Universitat Autònoma de Barcelona. Departament de Matemàtiques) ; Padilla Cozar, Maria
The possibilities of the use of the coefficient of variation over a high threshold in tail modelling are discussed. The paper also considers multiple threshold tests for a generalized Pareto distribution, together with a threshold selection algorithm. [...]
2016
SORT : statistics and operations research transactions, Vol. 40 Núm. 2 (July-December 2016) , p. 303-320 (Articles)  
Detailed record - Creative Commons
3.
24 p, 373.3 KB Variance reduction technique for calculating value at risk in fixed income portfolios / Abad, Pilar ; Benito, Sonia
Financial institutions and regulators increasingly use Value at Risk (VaR) as a standard measure for market risk. Thus, a growing amount of innovative VaR methodologies is being developed by researchers in order to improve the performance of traditional techniques. [...]
2010
SORT : statistics and operations research transactions, Vol. 34, Núm. 1 (January-June 2010) , p. 21-44  
Detailed record - Creative Commons

Research literature 1 records found  
1.
26 p, 271.9 KB Solvency Capital estimation and Risk Measures / Ferri Vidal, Antoni (Universitat de Barcelona. Departament d'Econometria) ; Guillén, Montserrat (Universitat de Barcelona. Departament d'Econometria) ; Bermúdez, Lluís (Universitat de Barcelona. Departament de Matemàtica Financera i Actuarial) ; Xarxa de Referència en Economia Aplicada (XREAP)
This paper examines why a financial entity's solvency capital estimation might be underestimated if the total amount required is obtained directly from a risk measurement. Using Monte Carlo simulation we show that, in some instances, a common risk measure such as Value-at-Risk is not subadditive when certain dependence structures are considered. [...]
Xarxa de Referència en Economia Aplicada (XREAP) 2012 (XREAP ; 2012-02)  
Detailed record - Creative Commons

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