Minimizing Value-at-Risk methodology under fuzzy-stochastic approach

2010 ◽  
Author(s):  
Ying-yu He
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Stochastic Approach ◽  
Risk Methodology

The Value-at-Risk Methodology of Basel II and Basel III

2014 ◽  
pp. 100-114 ◽  
Keyword(s):  
At Risk ◽  
Risk Management ◽  
Value At Risk ◽  
Basel Ii ◽  
Risk Measurement ◽  
Capital Adequacy ◽  
Basel Iii ◽  
Regulatory Capital ◽  
Advantages And Disadvantages ◽  
Risk Methodology

This chapter examines the advantages and disadvantages of the risk estimate approach—Value-at-Risk (VaR) which has been extensively embraced by regulators and practitioners in financial markets under the Basel II & III framework as the basis of risk measurement, both for the purpose of ensuring regulatory capital adequacy, and risk management and strategic planning at industry level.

scholarly journals On Approximate Pricing of Spread Options via Conditional Value-at-Risk

2021 ◽  
Vol 9 (3) ◽  
pp. 27-51
Author(s):  
C. Maksimov ◽  
A. Melnikov
Keyword(s):  
At Risk ◽  
Risk Management ◽  
Value At Risk ◽  
Conditional Value At Risk ◽  
Spread Options ◽  
Basel Accords ◽  
Risk Pricing ◽  
Exact Calculations ◽  
Risk Methodology ◽  
Price Spread

It is widely accepted to use conditional value-at-risk for risk management needs and option pricing. As a rule, there are difficulties in exact calculations of conditional value-at-risk. In the paper, we use the conditional value-at-risk methodology to price spread options, extending some approximation approaches for these needs. Our results we illustrate by numerical calculations which demonstrate their effectiveness. We also show how conditional value-at-risk pricing can help with regulatory needs inspired by the Basel Accords.

scholarly journals Estimation of the Value at Risk Using the Stochastic Approach of Taylor Formula

2020 ◽  
Vol 2020 ◽  
pp. 1-7
Author(s):  
Vini Yves Bernadin Loyara ◽  
Remi Guillaume Bagré ◽  
Diakarya Barro
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Stochastic Approach ◽  
Taylor Formula ◽  
Profit Function ◽  
Time Varying ◽  
Financial Loss ◽  
Higher Dimensional ◽  
Conditional Copula ◽  
Multivariate Copula

The aim of this paper is to provide an approximation of the value-at-risk of the multivariate copula associated with financial loss and profit function. A higher dimensional extension of the Taylor–Young formula is used for this estimation in a Euclidean space. Moreover, a time-varying and conditional copula is used for the modeling of the VaR.

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