Surplus-Invariant, Law-Invariant, and Positively Homogeneous Acceptance Sets Must Be Induced by Value-at-Risk

2016 ◽  
Author(s):  
Xue Dong He ◽  
Xianhua Peng
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Acceptance Sets

scholarly journals Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must Be the Sets Induced by Value at Risk

2018 ◽  
Vol 66 (5) ◽  
pp. 1268-1275 ◽  
Author(s):  
Xue Dong He ◽  
Xianhua Peng
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Acceptance Sets

Extremwerttheorie und Value-at-Risk

2015 ◽  
Vol 44 (5) ◽  
pp. 259-267
Author(s):  
Frank Schuhmacher ◽  
Benjamin R. Auer
Keyword(s):  
At Risk ◽  
Value At Risk

Value at Risk

Controlling ◽  
2004 ◽  
Vol 16 (7) ◽  
pp. 425-426
Author(s):  
Mischa Seiter ◽  
Sven Eckert
Keyword(s):  
At Risk ◽  
Value At Risk

Stress Testing in a Value at Risk Framework

CFA Digest ◽  
1999 ◽  
Vol 29 (2) ◽  
pp. 76-78
Author(s):  
Thomas J. Latta
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Stress Testing ◽  
A Value ◽  
Risk Framework

Value at Risk

2007 ◽  
Author(s):  
Arndt P. Funken ◽  
Alexander Obeid
Keyword(s):  
At Risk ◽  
Value At Risk

Capturing value-at-risk in futures markets: a revised filtered historical simulation approach

2012 ◽  
Vol 6 (4) ◽  
pp. 67-93
Author(s):  
Chang-Cheng Changchien ◽  
Chu-Hsiung Lin ◽  
Wei-Shun Kao
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Futures Markets ◽  
Simulation Approach ◽  
Historical Simulation

Central bank vulnerability and the credibility of its commitments: a value-at-risk approach

1999 ◽  
Vol 2 (1) ◽  
pp. 37-55 ◽  
Author(s):  
Mario Blejer ◽  
Liliana Schumacher
Keyword(s):  
At Risk ◽  
Central Bank ◽  
Value At Risk ◽  
A Value ◽  
Risk Approach

Estimation risk for value-at-risk and expected shortfall

2018 ◽  
Author(s):  
Paul Kabaila ◽  
Rheanna Mainzer
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Expected Shortfall ◽  
Estimation Risk
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