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MS&E 345 Advanced Topics in Financial Engineering

MS&E 345 Advanced Topics in Financial Engineering Jim Primbs Stanford University Winter, 2010 Primbs, MS&E345 1 Course Facts •Room and Time: 380-380W, MW 9:00-10:15. •Office hours: 444 Terman,...

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The New Basel Capital Accord and Questions for Practice and Research

The New Basel Capital Accord and Questions for Practice and Research Marc Saidenberg, Til Schuermann*Federal Reserve Bank of New York SOA/CAS Conference on Enterprise Risk ManagementApril 27, 2004 *...

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Value at Risk

Value at Risk By A V Vedpuris war February 8, 2009 ♦ VAR summarizes the worst loss over a target horizon that wil not be exceeded at a given level of confidence. ♦ For example, “under normal market...

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Introduction to Value At Risk VaR

VaR Method Comparisons FIN285: Lecture 3.5 Fall 2010 Readings: Jorion 15.1-15.3 Outline  The basic problem Methods Which should you use? The Basic Problem (x, y, z) : Risk Factors V() : Valuation...

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