A Non-parametric Method for Calculating Conditional Stressed Value at Risk
We consider the Value at Risk (VaR) of a portfolio under stressed conditions. In practice, the stressed VaR (sVaR) is commonly calculated using the data set that includes the stressed period. It tells us how much the risk amount increases if we use the stressed data set. In this paper, we consider t...
Saved in:
| Main Author: | Kohei Marumo |
|---|---|
| Format: | Article |
| Language: | Russian |
| Published: |
Plekhanov Russian University of Economics
2017-11-01
|
| Series: | Статистика и экономика |
| Subjects: | |
| Online Access: | https://statecon.rea.ru/jour/article/view/1161 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
-
A Non-parametric Method for Calculating Conditional Stressed Value at Risk
by: Kohei Marumo
Published: (2017-11-01) -
Calculation of stationary points in linear bilevel programming problems
by: D. E. Berezhnov, et al.
Published: (2019-06-01) -
On Non-Linear Differential Systems with Mixed Boundary Conditions
by: Miklós Rontó
Published: (2024-12-01) -
On generalized Hermite polynomials
by: Waleed Mohamed Abd-Elhameed, et al.
Published: (2024-11-01) -
MIN-MAX SOLUTIONS FOR PARAMETRIC CONTINUOUS STATIC GAME UNDER ROUGHNESS (PARAMETERS IN THE COST FUNCTION AND FEASIBLE REGION IS A ROUGH SET)
by: Yousria A. Aboelnaga, et al.
Published: (2020-12-01)