Showing 1 - 10 of 138
Persistent link: https://www.econbiz.de/10012423037
Persistent link: https://www.econbiz.de/10009793506
Persistent link: https://www.econbiz.de/10011554962
Risk analysis and management currently have a strong presence in financial institutions, where high performance and energy efficiency are key requirements for acceleration systems, especially when it comes to intraday analysis. In this regard, we approach the estimation of the widely-employed...
Persistent link: https://www.econbiz.de/10011556579
Persistent link: https://www.econbiz.de/10012795155
Persistent link: https://www.econbiz.de/10012795166
Persistent link: https://www.econbiz.de/10012322235
The purpose of this paper is to evaluate and estimate market risk for the ten major industries in Vietnam. The focus of the empirical analysis is on the energy sector, which has been designated as one of the four key industries, together with services, food, and telecommunications, targeted for...
Persistent link: https://www.econbiz.de/10012127865
This paper studies the optimal investment and consumption strategies in a two-asset model. A dynamic Value-at-Risk constraint is imposed to manage the wealth process. By using Value at Risk as the risk measure during the investment horizon, the decision maker can dynamically monitor the exposed...
Persistent link: https://www.econbiz.de/10012015814
The primary objective of this work is to analyze model based Value-at-Risk associated with mortality risk arising from issued term life assurance contracts and to compare the results with the capital requirements for mortality risk as determined using Solvency II Standard Formula. In particular,...
Persistent link: https://www.econbiz.de/10012019003