EFFICIENT VALUE-AT-RISK ESTIMATION

被引：0
|
作者：
Joseph, Angelo
Kruger, Jan
机构：
来源：
PROCEEDINGS OF THE 2011 3RD INTERNATIONAL CONFERENCE ON FUTURE COMPUTER AND COMMUNICATION (ICFCC 2011) | 2011年
关键词：
VaR; Estimation; Volatility; Markets;
D O I：
暂无
中图分类号：
TP301 [理论、方法];
学科分类号：
081202 ;
摘要：
In economics and finance, the Value-at-Risk (VaR) is a measurement of the maximum loss not exceeded with a given probability over a specified time. The VaR is an important measurement, as it gives a financial institution with confidence the maximum loss it can incur over time. In this paper, we briefly appraise general VaR measures. Subsequently, we introduce the idea of using the market volatility to make the VaR estimate, more responsive and efficient to the changes in the financial market.
引用
收藏
页码：281 / 284
页数：4
相关论文
共 50 条
  • [1] Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics
    Chun, So Yeon
    Shapiro, Alexander
    Uryasev, Stan
    [J]. OPERATIONS RESEARCH, 2012, 60 (04) : 739 - 756
  • [2] MONTE CARLO ESTIMATION OF VALUE-AT-RISK, CONDITIONAL VALUE-AT-RISK AND THEIR SENSITIVITIES
    Hong, L. Jeff
    Liu, Guangwu
    [J]. PROCEEDINGS OF THE 2011 WINTER SIMULATION CONFERENCE (WSC), 2011, : 95 - 107
  • [3] Semiparametric estimation of value-at-risk
    Fan, JQ
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2003, 32 (03): : 481 - 481
  • [4] Nonparametric estimation of value-at-risk
    Jeong, Seok-Oh
    Kang, Kee-Hoon
    [J]. JOURNAL OF APPLIED STATISTICS, 2009, 36 (11) : 1225 - 1238
  • [5] Backtesting Parametric Value-at-Risk With Estimation Risk
    Escanciano, J. Carlos
    Olmo, Jose
    [J]. JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2010, 28 (01) : 36 - 51
  • [6] Nonparametric estimation for risk in value-at-risk estimator
    Chang, YP
    Hung, MC
    Wu, YF
    [J]. COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2003, 32 (04) : 1041 - 1064
  • [7] Estimation risk for value-at-risk and expected shortfall
    Kabaila, Paul
    Mainzer, Rheanna
    [J]. JOURNAL OF RISK, 2018, 20 (03): : 29 - 47
  • [8] Model choice and value-at-risk estimation
    Ouyang, Zisheng
    [J]. QUALITY & QUANTITY, 2009, 43 (06) : 983 - 991
  • [9] Model choice and value-at-risk estimation
    Zisheng Ouyang
    [J]. Quality & Quantity, 2009, 43 : 983 - 991
  • [10] An optimization process in Value-at-Risk estimation
    Huang, Alex YiHou
    [J]. REVIEW OF FINANCIAL ECONOMICS, 2010, 19 (03) : 109 - 116
12345