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Conditional Value-at-Risk (CVaR): Algorithms and ApplicationsStan UryasevRisk Management and
- simple convenient representation of risks (one number) - measures downside risk (compared to variance which is impacted by high returns) - applicable to nonlinear instruments, such as options, with non-mymmetric (non-normal) loss distributions - may provide inadequate picture of risks: does not measure losses exceeding VaR (e.g., excluding or doubling of big losses in November 1987 may not impact VaR historical estimates)
67 p itc 08/01/2013 306 2
Từ khóa: risk management, value-at-risk, definition of conditional value-at-risk, risk management with CVaR functions, hedging, conditional Drawdown-at-Risk
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