Generally, in the financial literature, the notion of quadratic VaR is implicitly confused with the Delta-Gamma VaR …

finite grid. The method combines shape-preserving interpolation of the value function in endogenous variables with a … simplicial linear interpolation in nonlinear transformations of other state variables. A shape-preserving interpolation scheme is … developed that is particularly suitable for value functions that arise from capital accumulation problems. This interpolation …

We study in a VAR model the effects of monetary policy shocks with new Italian flow of funds data for 1980-2002. First …

This paper examines different multivariate models to evaluate what are the main determinants when doing VaR forecasts … and the time sample used for VaR backtesting. The calculated VaR values are then compared using three different testing …

measuring Risk in a given portfolio using the Value At Risk (VAR). We apply Empirical-Bayesian (EB) techniques to the Normal and … Student models to obtain VAR. The resultings VAR are easy to calculate and that from Student model has a pretty interpretation … in terms of kurtosis. Both VAR were applied to a conjunct of diary observations of returns in six international indexes …