Matches in SemOpenAlex for { <https://semopenalex.org/work/W1962799504> ?p ?o ?g. }
Showing items 1 to 99 of
99
with 100 items per page.
- W1962799504 abstract "The Basle 2 Capital Accord issued by the Basle Committee on banking supervision has proposed a multiplier superior to 3 on banks' internal 99% 10-day Value-at-Risk calculated for market risk exposure. This ad hoc factor has not been fully explained and is poorly justified by arguing that the standard classical models of stock price dynamics do not adequately capture actual market risks. More generally, the current crisis has questioned a lot risk management practices about the determination of appropriate VaRs. In this paper, we revisit the computation of Value-at-Risk by introducing a new method based on Levy processes. After a brief preliminary study where jump tests are performed in order to confirm the need for jump processes in financial modeling, we provide a new presentation of Variance Gamma Processes with Drift, that are reconstructed in an original way starting from the exponential distribution. Then, we display a fit of these processes on the American and French markets, before providing a new general Fourier formula that allows to compute VaR quickly and efficiently. Based on this formula, we conduct a study of the term structure of VaR, and provide a discussion of the Basle 2 and forthcoming Solvency 2 agreements." @default.
- W1962799504 created "2016-06-24" @default.
- W1962799504 creator A5022369605 @default.
- W1962799504 creator A5056632139 @default.
- W1962799504 date "2009-01-01" @default.
- W1962799504 modified "2023-09-26" @default.
- W1962799504 title "A Study on Value-at-Risk and Lévy Processes" @default.
- W1962799504 cites W1480459000 @default.
- W1962799504 cites W1551275368 @default.
- W1962799504 cites W16827625 @default.
- W1962799504 cites W1980519218 @default.
- W1962799504 cites W2079758198 @default.
- W1962799504 cites W2103382933 @default.
- W1962799504 cites W2122959466 @default.
- W1962799504 cites W2123446302 @default.
- W1962799504 cites W2133672408 @default.
- W1962799504 cites W2138540172 @default.
- W1962799504 cites W2155804346 @default.
- W1962799504 cites W3123149889 @default.
- W1962799504 cites W568726942 @default.
- W1962799504 doi "https://doi.org/10.2139/ssrn.1598360" @default.
- W1962799504 hasPublicationYear "2009" @default.
- W1962799504 type Work @default.
- W1962799504 sameAs 1962799504 @default.
- W1962799504 citedByCount "2" @default.
- W1962799504 countsByYear W19627995042013 @default.
- W1962799504 countsByYear W19627995042015 @default.
- W1962799504 crossrefType "journal-article" @default.
- W1962799504 hasAuthorship W1962799504A5022369605 @default.
- W1962799504 hasAuthorship W1962799504A5056632139 @default.
- W1962799504 hasConcept C10138342 @default.
- W1962799504 hasConcept C105795698 @default.
- W1962799504 hasConcept C106159729 @default.
- W1962799504 hasConcept C11413529 @default.
- W1962799504 hasConcept C121332964 @default.
- W1962799504 hasConcept C124584101 @default.
- W1962799504 hasConcept C139719470 @default.
- W1962799504 hasConcept C149782125 @default.
- W1962799504 hasConcept C162118730 @default.
- W1962799504 hasConcept C162324750 @default.
- W1962799504 hasConcept C183582576 @default.
- W1962799504 hasConcept C2778215004 @default.
- W1962799504 hasConcept C2780695682 @default.
- W1962799504 hasConcept C32896092 @default.
- W1962799504 hasConcept C33923547 @default.
- W1962799504 hasConcept C41008148 @default.
- W1962799504 hasConcept C45374587 @default.
- W1962799504 hasConcept C62520636 @default.
- W1962799504 hasConcept C73858035 @default.
- W1962799504 hasConcept C88757350 @default.
- W1962799504 hasConcept C94128290 @default.
- W1962799504 hasConceptScore W1962799504C10138342 @default.
- W1962799504 hasConceptScore W1962799504C105795698 @default.
- W1962799504 hasConceptScore W1962799504C106159729 @default.
- W1962799504 hasConceptScore W1962799504C11413529 @default.
- W1962799504 hasConceptScore W1962799504C121332964 @default.
- W1962799504 hasConceptScore W1962799504C124584101 @default.
- W1962799504 hasConceptScore W1962799504C139719470 @default.
- W1962799504 hasConceptScore W1962799504C149782125 @default.
- W1962799504 hasConceptScore W1962799504C162118730 @default.
- W1962799504 hasConceptScore W1962799504C162324750 @default.
- W1962799504 hasConceptScore W1962799504C183582576 @default.
- W1962799504 hasConceptScore W1962799504C2778215004 @default.
- W1962799504 hasConceptScore W1962799504C2780695682 @default.
- W1962799504 hasConceptScore W1962799504C32896092 @default.
- W1962799504 hasConceptScore W1962799504C33923547 @default.
- W1962799504 hasConceptScore W1962799504C41008148 @default.
- W1962799504 hasConceptScore W1962799504C45374587 @default.
- W1962799504 hasConceptScore W1962799504C62520636 @default.
- W1962799504 hasConceptScore W1962799504C73858035 @default.
- W1962799504 hasConceptScore W1962799504C88757350 @default.
- W1962799504 hasConceptScore W1962799504C94128290 @default.
- W1962799504 hasLocation W19627995041 @default.
- W1962799504 hasOpenAccess W1962799504 @default.
- W1962799504 hasPrimaryLocation W19627995041 @default.
- W1962799504 hasRelatedWork W1454038227 @default.
- W1962799504 hasRelatedWork W1493576145 @default.
- W1962799504 hasRelatedWork W1895824128 @default.
- W1962799504 hasRelatedWork W2014544571 @default.
- W1962799504 hasRelatedWork W2037726615 @default.
- W1962799504 hasRelatedWork W2279916500 @default.
- W1962799504 hasRelatedWork W2575065794 @default.
- W1962799504 hasRelatedWork W2730283745 @default.
- W1962799504 hasRelatedWork W2735642302 @default.
- W1962799504 hasRelatedWork W2765096368 @default.
- W1962799504 hasRelatedWork W2949967793 @default.
- W1962799504 hasRelatedWork W3087107280 @default.
- W1962799504 hasRelatedWork W3121357421 @default.
- W1962799504 hasRelatedWork W3123176568 @default.
- W1962799504 hasRelatedWork W3138041719 @default.
- W1962799504 hasRelatedWork W3146856988 @default.
- W1962799504 hasRelatedWork W626695261 @default.
- W1962799504 hasRelatedWork W72581391 @default.
- W1962799504 hasRelatedWork W1860854988 @default.
- W1962799504 hasRelatedWork W2109224201 @default.
- W1962799504 isParatext "false" @default.
- W1962799504 isRetracted "false" @default.
- W1962799504 magId "1962799504" @default.
- W1962799504 workType "article" @default.