Zobrazeno 1 - 10
of 36
pro vyhledávání: '"historical simulation method"'
Publikováno v:
Heliyon, Vol 10, Iss 21, Pp e38517- (2024)
Traditional research has problems such as limited data samples, limited variable selection, and insufficient real-time analysis capabilities. With the advent of the big data era, researchers are increasingly using big data analysis to discover the la
Externí odkaz:
https://doaj.org/article/28a45037f4b54d118007f2c25d6b746b
Publikováno v:
In Heliyon 15 November 2024 10(21)
Autor:
Radim Gottwald
Publikováno v:
Littera Scripta, Iss 2/2012, Pp 35-42 (2019)
The paper focuses on the Value at Risk model, which is nowadays often used for risk analysis mostly in the banking and insurance industries. Following the characteristics of the model principle, the Value at Risk is interpreted in the economic sense.
Externí odkaz:
https://doaj.org/article/8f51b7fe94fa45f8b8884e860eb923f1
Publikováno v:
Journal of Applied Economic Sciences (JAES). XIII(57):787-796
Externí odkaz:
https://www.ceeol.com/search/article-detail?id=725615
Publikováno v:
The Journal of Engineering (2019)
The increasing wind power penetration makes it necessary for wind power to participate in system restoration, while the maturing wind power control technology makes it possible. To characterise the security level of the system accommodating a certain
Externí odkaz:
https://doaj.org/article/b6c4c1d7b3a8460d8e130a85cd4b23c6
Publikováno v:
Bulletin of the Transilvania University of Brasov. Series V : Economic Sciences, Vol 10(59), Iss special, Pp 99-104 (2018)
VaR represents an advanced model of risk management, appropriate for estimating the financial risk of a financial title taken individually or of a portfolio of titles. The research aims to quantify the maximum loss of the securities value, based on t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doajarticles::1ef64488f12d276f3cf57035a0a552f8
Autor:
Merve Kilinç, Cantürk Kayahan
Publikováno v:
Volume: 4, Issue: 4 583-598
Finans Ekonomi ve Sosyal Araştırmalar Dergisi
Finans Ekonomi ve Sosyal Araştırmalar Dergisi
There are numerous methods used in literature on predictive risks and benefits of investment instruments. Methods of value at risk are within the methods proposed by JP Morgan, as well. Value at risk makes a risk prediction according to three princip
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::25284526dc4087d51d66d0bd519d2c6b
https://doi.org/10.29106/fesa.610146
https://doi.org/10.29106/fesa.610146
Autor:
Račić Željko, Ercegovac Dajana
Publikováno v:
Škola Biznisa, Vol 2017, Iss 2, Pp 179-188 (2017)
The aim of this paper is to elucidate the importance of monitoring and managing foreign exchange risk by elaborating an example of the application of basic VaR methods. In a detailed overview of the basic procedures that banks use to assess the level
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doajarticles::11e820ec74083db652f684e62c8b6e3e
https://scindeks-clanci.ceon.rs/data/pdf/1451-6551/2017/1451-65511702179R.pdf
https://scindeks-clanci.ceon.rs/data/pdf/1451-6551/2017/1451-65511702179R.pdf
Conference
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Autor:
Çuhalar, Töre
Bu çalışmada, üç farklı portföy için RMD; eşit ağırlıklandırılmış Varyans-Kovaryans, EWMA'ya dayalı Varyans-Kovaryans ve Tarihsel Simülasyon yöntemleri vasıtasıyla hesaplanmış, modellerin güvenilirlikleri 250 günlük ve 500 g
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_____10208::dcd25c803ecfb5b11a1c83c46869ba2d
https://acikbilim.yok.gov.tr/handle/20.500.12812/148731
https://acikbilim.yok.gov.tr/handle/20.500.12812/148731
