Value at Risk Bounds for Portfolios of Non-Normal Returns - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Value at Risk Bounds for Portfolios of Non-Normal Returns write by Elisa Luciano. This book was released on 2001. Value at Risk Bounds for Portfolios of Non-Normal Returns available in PDF, EPUB and Kindle. This paper studies Value at Risk (VaR) bounds for sums of stochastically dependent random variables, i.e. portfolios of correlated financial assets. The bounds hold under no restrictions on the dependence or on the marginal distributions of returns. An improvement of the bounds is given for positive (quadrant) dependent rvs. Both sets of bounds are computed for portfolios of 6 international indices. Backtesting confirms the usefulness of the approach, even with respect to other shortcuts, such as the normality assumption. For small portfolios, bounds are not over conservative.
Statistical Data Analysis Based on the L1-Norm and Related Methods
Statistical Data Analysis Based on the L1-Norm and Related Methods - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Statistical Data Analysis Based on the L1-Norm and Related Methods write by Yadolah Dodge. This book was released on 2012-12-06. Statistical Data Analysis Based on the L1-Norm and Related Methods available in PDF, EPUB and Kindle. This volume contains a selection of invited papers, presented to the fourth International Conference on Statistical Data Analysis Based on the L1-Norm and Related Methods, held in Neuchâtel, Switzerland, from August 4–9, 2002. The contributions represent clear evidence to the importance of the development of theory, methods and applications related to the statistical data analysis based on the L1-norm.
New Trends in Banking Management
New Trends in Banking Management - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook New Trends in Banking Management write by Constantin Zopounidis. This book was released on 2012-12-06. New Trends in Banking Management available in PDF, EPUB and Kindle. During the last decades the globalization, the intensified competition and the rapid changes in the socio-economic and technological environment had a major impact on the global economic, financial and business environments. Within this environment, it is clear that banking institutions worldwide face new challenges and increasing risks, as well as increasing business potentials. The recent experience shows that achieving a sustainable development of the banking system is not only of interest to the banking institutions themselves, but it is also directly related to the development of the whole business and economic environment, both at regional and international level. The variety of new banking products that is constantly being developed to accommodate the increased customer needs (firms, organizations, individuals, etc.) provides a clear indication of the changes that the banking industry has undergone during the last two decades. The establishment of new products of innovative processes and instruments for their requires the implementation efficient management. The implementation of such processes and instruments is closely related to a variety of disciplines, advanced quantitative analysis for risk management, information technology, quality management, etc. The implementation ofthese approaches in banking management is in accordance with the finding that empirical procedures are no longer adequate to address the increasing complexity of the banking industry.
Value-at-Risk Bounds with Variance Constraints
Value-at-Risk Bounds with Variance Constraints - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Value-at-Risk Bounds with Variance Constraints write by Carole Bernard. This book was released on 2015. Value-at-Risk Bounds with Variance Constraints available in PDF, EPUB and Kindle. Recent literature deals with bounds on the Value-at-Risk (VaR) of risky portfolios when only the marginal distributions of the components are known. In this paper we study Value-at-Risk bounds when the variance of the portfolio sum is also known, a situation that is of considerable interest in risk management.We provide easy to calculate Value-at-Risk bounds with and without variance constraint and show that the improvement due to the variance constraint can be quite substantial. We discuss when the bounds are sharp (attainable) and point out the close connections between the study of VaR bounds and convex ordering of aggregate risk. This connection leads to the construction of a new practical algorithm, called Extended Rearrangement Algorithm (ERA), that allows to approximate sharp VaR bounds. We test the stability and the quality of the algorithm in several numerical examples.We apply the results to the case of credit risk portfolio models and verify that adding the variance constraint gives rise to significantly tighter bounds in all situations of interest. However, model risk remains a concern and we criticize regulatory frameworks that allow financial institutions to use internal models for computing the portfolio VaR at high confidence levels (e.g., 99.5%) as the basis for setting capital requirements.
Financial Market Risk
Financial Market Risk - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Financial Market Risk write by Cornelis Los. This book was released on 2003-07-24. Financial Market Risk available in PDF, EPUB and Kindle. This book covers the latest theories and empirical findings of financial risk, its measurement and management, and its applications in the world of finance.
