Gloriamundi Community
Discussion Thread
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...
Detail
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...
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 ...
Detail
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 ...
Date: 11-1-2010 Initiator: BarrySchachter
Thinking coherentlyIn this paper the authors propose properties appropriate to a risk measure. Such risk measures are called ...
Detail
Thinking coherentlyIn this paper the authors propose properties appropriate to a risk measure. Such risk measures are called ...
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...
Detail
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...
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...
Detail
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...
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...
Detail
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...
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...
Detail
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...
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...
Detail
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...
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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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...
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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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....
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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SamWhat is the best practice in calculating VAR for a generation portfolio with a time frame of 5 years?...
Date: 8-18-2010 Initiator: rituparnadas
Das RituparnaWhat is the contact email id of gloriamundi.org?...
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Das RituparnaWhat is the contact email id of gloriamundi.org?...
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!...
Detail
loganHas someone never done back-testing of a credit-VaR? In case, have you used specific back-testing procedures? many thanks!...
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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ModELING OF Value at Risk in Indian Stock MarketI need Information about such article which deals with these items for my MA Dissertation....
