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Date: 11-1-2010 Initiator: BarrySchachter
Remarks on the value-at-risk and the conditional value-at-risk.The value-at-risk (VaR) and the conditional value-at-risk (CVaR) are two commonly used risk measures. We state some of their properties and make a comparison. Moreover, the structure of the portfoli...
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Date: 11-1-2010 Initiator: BarrySchachter
Coherent Measures of RiskIn this paper we study both market risks and non-market risk, and discuss methods of measurement of them. We present and justify a set of four desirable properties for measures of risk. We examine in ...
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Date: 11-1-2010 Initiator: BarrySchachter
Thinking coherentlyIn this paper the authors propose properties appropriate to a risk measure. Such risk measures are called ...
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Date: 11-1-2010 Initiator: BarrySchachter
Expected Shortfall: a natural coherent alternative to Value at RiskWe discuss the coherence properties of Expected Shortfall (ES) as a financial risk measure. This statistic arises in a natural way from the estimation of the “average of the 100p% worst losses” in a s...
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Date: 11-1-2010 Initiator: BarrySchachter
On the Coherence of Expected ShortfallExpected Shortfall (ES) in several variants has been proposed as remedy for the deficiencies of Value-at-Risk (VaR) which in general is not a coherent risk measure. In fact, most definitions of ES lea...
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Date: 11-1-2010 Initiator: BarrySchachter
Risk Aversion and Coherent Risk Measures: a Spectral Representation TheoremWe study a space of coherent risk measures M? obtained as certain expansions of coherent elementary basis measures. In this space, the concept of “Risk Aversion Function” ? naturally arises as the spe...
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Date: 10-18-2010 Initiator: BarrySchachter
ECB on Models for Macro Stress TestingIn the June 2010 Financial Stability Report, the ECB's own take on Macro Stress Testing: What is it, why do it, what are the pitfalls (pages 143-144). Here's the last bit, where they summari...
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Date: 10-6-2010 Initiator: anandbiyer
Computing PD for a Low Default PortfolioHi, I am currently computing Probability of Default for a Low Default Portfolio. There are 2 papers that i am referring to while doing this computation. Van Der burght in his paper uses the CAP curve...
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Date: 8-26-2010 Initiator: yakzkhan
YAKZHi, every body actually i am looking for a book name (ARCH MODEL FOR FINANCIAL APPLICATION) by Evdokia Xekalaki, Stavros Degiannakis.can some one help me while finding it online or from some other so...
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Date: 8-23-2010 Initiator: mhapsari
VaR versus Standard deviationCan somebody explain to me: which one is better between VaR and Standard deviation as a risk measure in term of how it captures risk and their usefulness in practice....
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Date: 8-19-2010 Initiator: Salim J
SamWhat is the best practice in calculating VAR for a generation portfolio with a time frame of 5 years?...
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Date: 8-18-2010 Initiator: rituparnadas
Das RituparnaWhat is the contact email id of gloriamundi.org?...
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Date: 8-18-2010 Initiator: manuelabenigno
loganHas someone never done back-testing of a credit-VaR? In case, have you used specific back-testing procedures? many thanks!...
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Date: 7-23-2010 Initiator: kamal88
ModELING OF Value at Risk in Indian Stock MarketI need Information about such article which deals with these items for my MA Dissertation....
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Date: 7-21-2010 Initiator: hakam
HWKHow do i get my Value at Risk Model validated....
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