Value at risk: Recent advances
The essence of Value-at-Risk (VaR) modeling is the prediction of the highest expected loss for a given portfolio. The traditional approaches to VaR computations do not provide a satisfactory evaluation of possible losses. The authors review the recent advances in the VaR methodologies and note that the proposed improvements still lack a convincing unified technique capturing the observed phenomena in financial data such as heavy-tails, time-varying volatility and short- and long-range dependence. The authors suggest to use Paretian distributions in VaR modeling.NEWLINENEWLINEFor the entire collection see [Zbl 0954.65001].
- Stable modeling in energy risk management
- Value at risk calculation through ARCH factor methodology: Proposal and comparative analysis.
- Fitting a Pareto-Normal-Pareto distribution to the residuals of financial data
- \textit{Ex-ante} real estate value at risk calculation method
- Econometric modeling of risk measures: a selective review of the recent literature
- A multivariate FGD technique to improve VaR computation in equity markets
- scientific article; zbMATH DE number 1642361 (Why is no real title available?)
- Alternative approximations to value-at-risk: a comparison
- Risk measures and Pareto style tails
- Cash flow at risk based on bootstrap simulation and generalized Pareto distribution
- Toward a margin-based VaR for the unit maintenance scheduling of power provider enterprises
- Value at risk estimation
- Extreme value theory and VaR computation
- A REMARK CONCERNING VALUE-AT-RISK
- scientific article; zbMATH DE number 5525019 (Why is no real title available?)
- scientific article; zbMATH DE number 1228098 (Why is no real title available?)
- scientific article; zbMATH DE number 1941513 (Why is no real title available?)
- scientific article; zbMATH DE number 1538076 (Why is no real title available?)
- DPOT methodology: an application to value-at-risk
- Empirical Issues in Value-at-Risk
- Exponentially smoothing the skewed Laplace distribution for value-at-risk forecasting
- Estimation of value at risk: extreme value and robust approaches
- VaR methodology for non-Gaussian finance
- Scaling laws: a viable alternative to value at risk?
- Systematic VaR model based on multi-resolution analysis and extreme value theory
- scientific article; zbMATH DE number 2222631 (Why is no real title available?)
- Value at risk and inventory control
- Semiparametric quantile regression estimation in dynamic models with partially varying coefficients
- Conditional VaR estimation using Pearson's type IV distribution
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