[PDF] Top 20 Bond value-at-risk : a comparison of methods
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Bond value-at-risk : a comparison of methods
... out of the eighteen times, zero most of the ...purposes, at Figure 3, we can find the VaR estimates for the first ...refinement of the method is in order since the Duration method failed to ... See full document
42
PDF EN Jornal Brasileiro de Pneumologia 6 15 english
... strains of the Mycobacterium tuberculosis complex, under certain appropriate conditions, grow as characteristic ropes, bundles or serpentine cords known as cord factor or growth in ...objective of the ... See full document
5
Value-at-Risk (VaR) Brazilian Real and currencies of emerging and developing markets
... volatility of currencies and their relation to development seem to be much more related to the level of government intervention on the value of currencies than with market factors described ... See full document
15
J. bras. pneumol. vol.33 número6 en v33n6a15
... strains of the Mycobacterium tuberculosis complex, under certain appropriate conditions, grow as characteristic ropes, bundles or serpentine cords known as cord factor or growth in ...objective of the ... See full document
5
An analytical method of estimating Value-at-Risk on the Belgrade Stock Exchange
... implemented methods to estimate ...part of the daily mark-to-market ...estimates of the volatility and correlation parameters ...important of these is that many parametric VaR applications are ... See full document
20
Comparing conditional and stochastic volatility models: goodness of fit, forecasting and value-at-risk
... a comparison of three families of volatility models, namely the Autoregressive Conditional Heteroskedasticity (ARCH), Stochastic Volatility (SV) and Non-Gaussian State Space Models (NGSSM) is made ... See full document
43
Measuring the risk of an Iranian banking system using Value at Risk (VaR) Model
... operating risk meaningfully and the loss associated with related events within the organization increases operating risk ...effects of business disruption and internal affairs are significantly ... See full document
6
Comparison of marine spatial planning methods in Madagascar demonstrates value of alternative approaches.
... Government of Madagascar plans to increase marine protected area coverage by over one million ...four methods for marine spatial planning of Madagascar’s west ...biodiversity value). The first ... See full document
15
Value at risk e expectes shortfall: medidas de risco e suas propriedades: um estudo empírico para o mercado brasileiro
... Value at Risk (VaR) and Expected Shortfall (ES) are quantitative models to measure market risk of financial assets ...purpose of this study is to evaluate the results of ... See full document
90
Dynamic D-Vine copula model with applications to Value-at-Risk (VaR)
... purpose of comparison, we also estimate a static D-vine copula for the two inves- tigated data ...estimates of the pair-copulas parameters in this case, as it is usual in the literature of ... See full document
40
Avaliação da performance de modelos de value-at-risk em mercados emergentes: uma aplicação aos mercados da Bulgária e da Roménia
... performance of several Value-at-risk (VaR) methodologies in both ...approach of historical simulation. The main conclusion is that methods based on the Student-t conditional ... See full document
93
Backtesting Value-at-Risk Models
... some of the disadvantages associated with the Historical Simulation, Barone- Adesi, F, & Giannopoulos (1998) and Barone-Adesi Giannopoulos, & Vosper (1999) introduce Filtered Historical ...estimation ... See full document
67
Comparing value-at-risk methodologies
... different Value-at-Risk (V aR) method- ologies through Monte Carlo ...other methods that require distributional ...returns of S˜ ao Paulo stock exchange index, IBOVESPA, during periods ... See full document
29
Avaliação empírica do risco de mercado: expected shortfall vs value-at-risk
... Com isto, surgiu a necessidade de existirem metodologias que avaliassem o risco associado às séries financeiras tal como o Value-at-Risk (VaR), sendo definido, atualmente pelas instituições ... See full document
54
METODOLOGIA VALUE-AT-RISK: APLICAÇÃO A UMA CARTEIRA DE OBRIGAÇÕES DE TESOURO PORTUGUESAS
... o Value-at-Risk (VaR) uma medida de mensuração do risco financeiro, este trabalho tem como principal objetivo a aplicação de vários modelos VaR, considerando uma carteira constituída por quatro ... See full document
44
Buying Behavior Of Organic Vegetables Product The Effects Of Perceptions Of Quality And Risk
... evaluated of customer and customer behavior (Tuu & Olsen, ...involves risk in the sense that any action of a consumer will produce consequences which he cannot anticipate with anything ... See full document
8
Value-at-Risk da Carteira do Ibovespa: uma análise com o uso de modelos de memória longa.
... Depois do lançamento do Riskmetrics, diversas pesquisas vêm sendo desenvolvidas para se testar a real eficiência desta metodologia na mensuração do risco de mercado, em específico o cálculo do ... See full document
14
Rev. odontol. UNESP vol.46 número5
... influence of caries-affected dentin on bond strength of a universal one-step and a multi-step etch-and-rinse adhesive ...Enamel of 60 third human molars with and without caries was removed to ... See full document
5
Comparação de métodos de value-at-risk para medição do risco em rendibilidades de taxas de câmbio
... Esta tese tem então, como principal objetivo, ajustar os modelos não-lineares da fa- mília GARCH à série temporal considerada, fazer os testes de backtesting nos modelos heterocedásticos[r] ... See full document
55
EFEITOS DO IMPEACHMENT PRESIDENCIAL NO VALUE AT RISK DAS AÇÕES NEGOCIADAS NA BOLSA DE VALORES DE SÃO PAULO
... Xiao et al. (2015) revisita os principais modelos de regressão quantílica para estima- ção do Value at Risk e argumenta que, quando estimados com uso dessa técnica, estes apresentam propriedades ... See full document
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