Search Results - "Historical simulation"

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  1. 1
    Assessing the Performance of Parametric, Non-Parametric and Semi-Parametric Value-at-Risk Models Applied to the Chinese Stock Market

    Assessing the Performance of Parametric, Non-Parametric and Semi-Parametric Value-at-Risk Models Applied to the Chinese Stock Market by PENG, BO

    Published 2006
    Subjects: Get full text
  2. 2
    Mean-VaR portfolio optimization: a nonparametric approach

    Mean-VaR portfolio optimization: a nonparametric approach by Lwin, Khin T., Qu, Rong, MacCarthy, Bart L.

    Published 2017
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  3. 3
    Assessing the performance of the VaR models on nonlinear portfolio

    Assessing the performance of the VaR models on nonlinear portfolio by ZHU, Guantao

    Published 2013
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  4. 4
    Value-at-Risk for Financial Derivative Instruments

    Value-at-Risk for Financial Derivative Instruments by Lv, Mingyue

    Published 2011
    Subjects: Get full text
  5. 5
    A Comparison of Chinese and UK Portfolios Using Value-at-Risk Approaches

    A Comparison of Chinese and UK Portfolios Using Value-at-Risk Approaches by ZHOU, Mengjia

    Published 2013
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  6. 6
    On the effectiveness of natural hedging for insurance companies and pension plans

    On the effectiveness of natural hedging for insurance companies and pension plans by Li, Ka Ki Jackie, Haberman, S.

    Published 2015
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  7. 7
    Value at Risk: a Trade-off between Accuracy and Computational Time

    Value at Risk: a Trade-off between Accuracy and Computational Time by Santacruz, Guillaume

    Published 2009
    Subjects: “…Value at risk; Monte Carlo simulation; Bootstrapping; Accuracy versus time of computation; Copulas; Fourier's transform; Historical simulation; Vba program; Excel; True random numbers; Graphical Processor Unit.…”
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