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Now showing items 11-15 of 15
Estimating the time Varying Components of international stock markets' risk
(1995)
In this study an alternative approach for assessing securities' risk is applied. Various authors have argued that security returns are not homoskedastic but exhibit variation over time. They have observed that large changes ...
Don't look back
(1998)
Value at risk is becoming increasingly popular as a management and regulatory tool. But before this acceptance goes much further, we need to assess its reliability under financial market conditions. Most VAR models deal ...
Non parametric VaR Techniques. Myths and Realities
(Wiley Online Library, 2003-12-03)
VaR (value-at-risk) estimates are currently based on two main techniques: the variance-covariance approach or simulation. Statistical and computational problems affect the reliability of these techniques. We illustrate a ...
A Simplified Approach to the Conditional Estimation of Value at Risk (VAR)
(Futures & Options World, 1996)
Emerging risk-management techniques use Value at Risk (VAR) to assess the market risk of a portfolio. We propose a relative simple method to estimate VAR conditionally to reflect new information about the volatility of ...
Portfolio selection under VaR constraints
(Springer-Verlag, 2005-03)
In this paper we show that by assuming a constant variance/covariance matrix over the holding period, the VaR limits can often be exceeded within the relevant horizon period. To minimize this risk, we formulate the problem ...