Keyword: Value at risk

Found 4 papers in total
Large deviations bounds for estimating conditional value-at-risk
Large deviations bounds for estimating conditional value-at-risk
2007,
In this paper, we prove an exponential rate of convergence result for a common...
Selecting Value-at-Risk methods according to their hidden characteristics
Selecting Value-at-Risk methods according to their hidden characteristics
2004,
The foremost concern of a modern risk manager is to estimate Value-at-Risk (VaR), that...
A multivariate functional gradient descent technique to improve Value-at-Risk computation in equity markets
A multivariate functional gradient descent technique to improve Value-at-Risk computation in equity markets
2005,
It is difficult to compute Value-at-Risk (VaR) using multivariate models able to take...
Value at risk and inventory control
Value at risk and inventory control
2005,
The purposes of this paper are two-fold. On the one hand, we shall provide a decision...
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