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Parametric VaR with goodness-of-fit tests based on EDF statistics for extreme returns
(2013-11-01)
Parametric VaR (Value-at-Risk) is widely used due to its simplicity and easy calculation. However, the normality assumption, often used in the estimation of the parametric VaR, does not provide satisfactory estimates for ...
Parametric VaR with goodness-of-fit tests based on EDF statistics for extreme returns
(2013-11-01)
Parametric VaR (Value-at-Risk) is widely used due to its simplicity and easy calculation. However, the normality assumption, often used in the estimation of the parametric VaR, does not provide satisfactory estimates for ...
Suposição de normalidade e gestão de risco: uma aplicação do var paramétrico via teste de aderência
(2014)
Given the weaknesses of the parametric VaR (Value-at-Risk) calculated by normality assumptions, this paper develops a method of parametric VaR calculation considering ten different probability distributions. Specifically, ...
A Robust VaR model for potential stress scenarios
(2019-12-18)
Este trabalho realiza um estudo empírico em 130 reuniões do Copom para investigar qual modelo tem a melhor performance na quantificação de risco para uma dada taxa de câmbio de acordo com um modelo paramétrico de Value-at-Risk ...
Valor en riesgo : evaluación del desempeño de diferentes metodologías para 5 países latinoamericanos
(Universidad IcesiFacultad de Ciencias Administrativas y Económicas, 2013-01-01)
This paper evaluates the performance of 20 different methods (parametric, and semi-parametric, and nonparametric),
as well as the historical simulation method, to estimate the next-trading-day value-at risk (VaR)
of a ...
Análise empírica do value-at-risk por simulação histórica com atualização de volatilidade para fundos de ações no Brasil
(2010-05)
For more then a decade, Value-at-Risk (VaR) has bee n choosen by financial and non-financial institutions to measure and control market risk for their portfolios. Because parametric methods usually assume that daily returns ...
Metodologías de estimación del valor en riesgo (VaR) : índice Nasdaq compuesto bajo, métodos paramétricos, no paramétricos y de valor extremo
(Universidad EAFITMaestría en Administración FinancieraEscuela de Finanzas, Economía y Gobierno. Departamento de FinanzasMedellín, 2023)
Value-at-Risk (VaR) is a measure of market risk that aims to establish the upper limit of possible losses in the value of an asset or portfolio of assets, under a previously defined confidence level. Nowadays there are ...