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
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