Matches in SemOpenAlex for { <https://semopenalex.org/work/W3125266333> ?p ?o ?g. }
Showing items 1 to 61 of
61
with 100 items per page.
- W3125266333 abstract "Value-at-Risk (VaR) has emerged as the standard tool for measuring and reporting financial market risk. Currently, more than eighty commercial vendors offer enterprise or trading risk management systems which report VaR-like measures. Risk managers are therefore often left with the daunting task of having to choose from this plethora of risk models. Accordingly, this paper develops a framework for asking, first, how a risk manager can test that the VaR measure at hand is properly specified. And second, given two different VaR measures, how can the risk manager compare the two and pick the best in a statistically meaningful way? In the application, competing VaR measures are calculated from either historical or option-price based volatility measures, and the VaRs are tested and compared. La valeur exposee au risque (value at risk - VaR) est devenue un outil standard de mesure et de communication des risques associes aux marches financiers. Plus de quatre-vingts fournisseurs commerciaux proposent actuellement des systemes de gestion d'entreprise ou de gestion des risques commerciaux fournissant des mesures de type VaR. C'est donc souvent aux gestionnaires des risques qu'incombe la tâche difficile d'operer un choix parmi cette plethore de modeles de risques. Cet article propose un cadre utile pour determiner par quel moyen le gestionnaire des risques peut s'assurer que la mesure de VaR dont il dispose est bien definie, et, dans un deuxieme temps, comparer deux mesures de VaR differentes et choisir la meilleure en s'appuyant sur des donnees statistiques utiles. Dans l'application, differentes mesures de VaR sont calculees a partir soit de mesures de volatilite historiques ou de mesures de volatilite implicites dans le prix des options; les VaR sont egalement verifiees et comparees." @default.
- W3125266333 created "2021-02-01" @default.
- W3125266333 creator A5023801774 @default.
- W3125266333 creator A5054326143 @default.
- W3125266333 creator A5087985715 @default.
- W3125266333 date "2001-01-01" @default.
- W3125266333 modified "2023-09-23" @default.
- W3125266333 title "Testing and Comparing Value-at-Risk Measures" @default.
- W3125266333 hasPublicationYear "2001" @default.
- W3125266333 type Work @default.
- W3125266333 sameAs 3125266333 @default.
- W3125266333 citedByCount "0" @default.
- W3125266333 crossrefType "posted-content" @default.
- W3125266333 hasAuthorship W3125266333A5023801774 @default.
- W3125266333 hasAuthorship W3125266333A5054326143 @default.
- W3125266333 hasAuthorship W3125266333A5087985715 @default.
- W3125266333 hasConcept C10138342 @default.
- W3125266333 hasConcept C106159729 @default.
- W3125266333 hasConcept C106306483 @default.
- W3125266333 hasConcept C138885662 @default.
- W3125266333 hasConcept C15708023 @default.
- W3125266333 hasConcept C162118730 @default.
- W3125266333 hasConcept C162324750 @default.
- W3125266333 hasConcept C2984239701 @default.
- W3125266333 hasConcept C32896092 @default.
- W3125266333 hasConcept C94128290 @default.
- W3125266333 hasConceptScore W3125266333C10138342 @default.
- W3125266333 hasConceptScore W3125266333C106159729 @default.
- W3125266333 hasConceptScore W3125266333C106306483 @default.
- W3125266333 hasConceptScore W3125266333C138885662 @default.
- W3125266333 hasConceptScore W3125266333C15708023 @default.
- W3125266333 hasConceptScore W3125266333C162118730 @default.
- W3125266333 hasConceptScore W3125266333C162324750 @default.
- W3125266333 hasConceptScore W3125266333C2984239701 @default.
- W3125266333 hasConceptScore W3125266333C32896092 @default.
- W3125266333 hasConceptScore W3125266333C94128290 @default.
- W3125266333 hasOpenAccess W3125266333 @default.
- W3125266333 hasRelatedWork W1504808713 @default.
- W3125266333 hasRelatedWork W1974159399 @default.
- W3125266333 hasRelatedWork W1976784419 @default.
- W3125266333 hasRelatedWork W2095780686 @default.
- W3125266333 hasRelatedWork W2109807244 @default.
- W3125266333 hasRelatedWork W2148080036 @default.
- W3125266333 hasRelatedWork W2166326159 @default.
- W3125266333 hasRelatedWork W2464625855 @default.
- W3125266333 hasRelatedWork W2568714598 @default.
- W3125266333 hasRelatedWork W2731939819 @default.
- W3125266333 hasRelatedWork W2784866545 @default.
- W3125266333 hasRelatedWork W2897800261 @default.
- W3125266333 hasRelatedWork W2944485893 @default.
- W3125266333 hasRelatedWork W2952451200 @default.
- W3125266333 hasRelatedWork W3121309975 @default.
- W3125266333 hasRelatedWork W3121532192 @default.
- W3125266333 hasRelatedWork W3123626640 @default.
- W3125266333 hasRelatedWork W3125358880 @default.
- W3125266333 hasRelatedWork W3193774499 @default.
- W3125266333 hasRelatedWork W2153895512 @default.
- W3125266333 isParatext "false" @default.
- W3125266333 isRetracted "false" @default.
- W3125266333 magId "3125266333" @default.
- W3125266333 workType "article" @default.