value-at-risk การใช้

• Portfolio theory introducing a value - at - risk constraint
• Study of portfolio risk estimation based on value - at - risk technique
• Especially the paper studies the value - at - risk ( var ) theory
• Value - at - risk model
• The method of value - at - risk ( var ) is known as the mainstream in this field nowadays
• Application study of value - at - risk methodology for measuring risk in shanghai and shenzhen stock markets
• The macroprudential indicators ( mpis ) and the value - at - risk ( var ) model are explored and developed to meet the above goal
• Across the industry , value - at - risk ? a measure of potential losses on a bad trading day ? has risen steadily
• Investment banks use “ value - at - risk ” models which mean that , when volatility rises , they cut the capital they allocate to trading
• On the basis of the classical mean - variance model , the article proposes the asset allocation model with value - at - risk constraint and transaction cost
• Value - at - risk as well as scenario stress testing are used to quantify the market risks inherent in the portfolios under normal as well as extreme adverse market conditions
• On the other hand , we investigated the value - at - risk ( var ) method , which is so popular in the field of financial risk management at the present time
• Risk control tools , such as value - at - risk and scenario stress testing , are used to quantify the market risks in the portfolios under normal and extreme adverse market conditions
• In addition to traditional risk control tools , value - at - risk and scenario stress testing are used to quantify the market risks in the portfolios under normal as well as extreme adverse market conditions
• To measure risk exposure properly , risk - control tools such as value - at - risk and scenario stress testing are deployed to assess market risks incurred by the various investment portfolios under normal and extreme adverse market conditions
• The thesis uses the var method ( value - at - risk ) to measure the credit risk of the portfolio , taking the loss of the portfolio as the criterion . the analysis is based on the default model and the credit metrics model respectively
• So traditional risk management handling with risks independently is sometimes inefficient . many accurate risk measures , such value - at - risk , are applied to practice . these innovations of thoughts and techniques make " insurance enterprise - wide risk management " feasible
• An important aspect of this amendment is that , as an alternative to a standardised measurement method , banks are permitted , subject to strict quantitative and qualitative standards , to use internal value - at - risk models as a basis for measuring their market risk capital requirements
• Some properties of the generalized pareto distribution are discussed . then gp model is used to analyze the returns to shanghai stock index , shenzhen stock index and the stock prices of two specific companies . a quantitative indicator of extreme changes in stock index and stock price is mentioned . the estimation of value - at - risk is also discussed
• In chapter three , we introduce various kinds of value - at - risk models , point out their virtues and shortcomings , and compare their fields of application . moreover , this paper put forward two model - - block maxima model and peak - over - thresholds model - - provide the gist of risk control and decision - making by calculating the value - at - risk