Comparative Analyses of Expected Shortfall and VaR.
Author | : Yasuhiro Yamai |
Publisher | : |
Total Pages | : 70 |
Release | : 2002 |
Genre | : |
ISBN | : |
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Author | : Yasuhiro Yamai |
Publisher | : |
Total Pages | : 70 |
Release | : 2002 |
Genre | : |
ISBN | : |
Author | : Yasuhiro Yamai |
Publisher | : |
Total Pages | : 29 |
Release | : 2001 |
Genre | : |
ISBN | : |
Author | : Yasuhiro Yamai |
Publisher | : |
Total Pages | : 56 |
Release | : 2001 |
Genre | : Financial futures |
ISBN | : |
Expected shortfall is compared with Value-at-Risk (VaR) in three aspects: estimation errors, decomposition into risk factors, and optimization. Advantages and disadvantages of expected shortfall over VaR are shown, and that expected shortfall is easily decomposed (needing a larger size of sample than VaR for the same level of accuracy) and optimized, while VaR is not.
Author | : Toshinao Yoshiba |
Publisher | : |
Total Pages | : 42 |
Release | : 2001 |
Genre | : Investment analysis |
ISBN | : |
Author | : Yasuhiro Yamai |
Publisher | : |
Total Pages | : 86 |
Release | : 2002 |
Genre | : Financial futures |
ISBN | : |
Author | : Yasuhiro Yamai |
Publisher | : |
Total Pages | : 46 |
Release | : 2001 |
Genre | : Investment analysis |
ISBN | : |
Author | : PAUL. NEWSON |
Publisher | : |
Total Pages | : 255 |
Release | : 2017 |
Genre | : Banks and banking |
ISBN | : 9781782723257 |
Author | : Chia-Lin Chang |
Publisher | : |
Total Pages | : |
Release | : 2015 |
Genre | : |
ISBN | : |
Author | : Stanislav Uryasev |
Publisher | : Springer Science & Business Media |
Total Pages | : 319 |
Release | : 2013-03-09 |
Genre | : Mathematics |
ISBN | : 1475731507 |
Probabilistic and percentile/quantile functions play an important role in several applications, such as finance (Value-at-Risk), nuclear safety, and the environment. Recently, significant advances have been made in sensitivity analysis and optimization of probabilistic functions, which is the basis for construction of new efficient approaches. This book presents the state of the art in the theory of optimization of probabilistic functions and several engineering and finance applications, including material flow systems, production planning, Value-at-Risk, asset and liability management, and optimal trading strategies for financial derivatives (options). Audience: The book is a valuable source of information for faculty, students, researchers, and practitioners in financial engineering, operation research, optimization, computer science, and related areas.
Author | : Mr.Andreas A. Jobst |
Publisher | : International Monetary Fund |
Total Pages | : 93 |
Release | : 2013-02-27 |
Genre | : Business & Economics |
ISBN | : 1475557531 |
The recent global financial crisis has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Current macroprudential policy and surveillance (MPS) efforts are aimed establishing a regulatory framework that helps mitigate the risk from systemic linkages with a view towards enhancing the resilience of the financial sector. This paper presents a forward-looking framework ("Systemic CCA") to measure systemic solvency risk based on market-implied expected losses of financial institutions with practical applications for the financial sector risk management and the system-wide capital assessment in top-down stress testing. The suggested approach uses advanced contingent claims analysis (CCA) to generate aggregate estimates of the joint default risk of multiple institutions as a conditional tail expectation using multivariate extreme value theory (EVT). In addition, the framework also helps quantify the individual contributions to systemic risk and contingent liabilities of the financial sector during times of stress.