步履蹒跚
发表于 2025-3-23 09:49:23
978-3-319-89170-5Springer International Publishing AG 2018
走路左晃右晃
发表于 2025-3-23 15:14:54
http://reply.papertrans.cn/43/4240/423978/423978_12.png
Ventilator
发表于 2025-3-23 19:07:04
https://doi.org/10.1007/978-3-319-72320-4Historical VaR; Filtered VaR; Internal market risk model; VaR validation; VaR backtesting; Capital market
立即
发表于 2025-3-24 00:45:20
http://reply.papertrans.cn/43/4240/423978/423978_14.png
滑稽
发表于 2025-3-24 06:00:37
http://reply.papertrans.cn/43/4240/423978/423978_15.png
山顶可休息
发表于 2025-3-24 07:32:29
Historical Value-at-RiskOne main concern of market risk management is to guess the plausible future behavior of a portfolio’s value. There are two main parts to this:
Communal
发表于 2025-3-24 11:28:49
Expected ShortfallThe VaR ignores quite a bit of seemingly important information—those losses that are even larger than the VaR. To take large losses into account, we could measure, e.g., the average of the 2.5% largest losses. This is called . or ..
巡回
发表于 2025-3-24 18:32:22
A Monte Carlo ModificationOur VaR model typically uses 2 years of data or 500 returns, and it generates, via mirroring, twice that number of scenario returns.
oncologist
发表于 2025-3-24 20:45:04
http://reply.papertrans.cn/43/4240/423978/423978_19.png
退出可食用
发表于 2025-3-25 00:53:41
http://reply.papertrans.cn/43/4240/423978/423978_20.png