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Economy & Finance Value at risk models in finance

1. EUROPEAN CENTRAL BANKW O R K I N G PA P E R S E R I E S P K E E C B T K E B Z E BC EWORKING PAPER NO. 75 VALUE AT RISK MODELS IN FINANCEBY SIMONE MANGANELLI AND ROBERT…

Business Backtesting var

1. MEASUREMENT ERRORS AND BACKTESTING METHODS Group 2 2.  Value-at-Risk (VaR) is a risk model which predicts the loss that an investment portfolio may experience over…

Documents Economic-Note-51.pdf

Inflation in the GCC: An Analysis of the Causes and Implications for Monetary Policy Inflation in the GCC: An Analysis of the Causes and Implications for Monetary Policy…

Documents VAR Romain Berry

Value-at-Risk: An Overview of Analytical VaR Value-at-Risk: An Overview of Analytical VaR E-mail   print by Romain Berry J.P. Morgan Investment Analytics and Consulting…

Documents Introduction Data and simula- tion methodology VaR models and estimation results Estimation perfor-....

Slide 1 Introduction Data and simula- tion methodology VaR models and estimation results Estimation perfor- mance analysis Conclusions Appendix Doctoral School of Finance…

Documents Continuous-time random walks and fractional calculus: Theory and applications Enrico Scalas (DISTA.....

Continuous-time random walks and fractional calculus: Theory and applications Enrico Scalas (DISTA East-Piedmont University) www.econophysics.org DIFI Genoa (IT) 20 October…

Documents Risk Management Information System Nurhastuty K. Wardhani & Shaista Arshad Prof. Dato’ Dr....

Risk Management Information System Nurhastuty K. Wardhani & Shaista Arshad Prof. Datoâ Dr. Kamaruddin Sharif Computerized systems that assist in consolidating information…

Documents A non-Parametric Measure of Expected Shortfall (ES)

A non-Parametric Measure of Expected Shortfall (ES) By Kostas Giannopoulos UAE University Early days When Value-at-Risk (VaR) was first introduced it achieved much popularity…

Documents Continuous-time random walks and fractional calculus: Theory and applications

Continuous-time random walks and fractional calculus: Theory and applications Enrico Scalas (DISTA East-Piedmont University) www.econophysics.org DIFI Genoa (IT) 20 October…

Documents Risk Management Information System

Risk Management Information System Nurhastuty K. Wardhani & Shaista Arshad Prof. Datoâ Dr. Kamaruddin Sharif Computerized systems that assist in consolidating information…