markets for the two classes of shares. Value-at-Risk (VaR) threshold forecasts are used to analyse the importance of … information flow on the risk evaluation of a diversified portfolio. The competing VaR forecasts are analysed using the …

might occur from credit events. Moreover, SaR is expressed in terms of Value-at-Risk (VaR). Finally, Chapter 5 provides an …

in the south ofthat state, the greatest region producer, trough two models of Value at Risk (VaR), theNormal Model and … sure, both of them in a thirtydays exposure, calculated by the Historic Simulation VaR Model, which was the mosttrustable …, with less exceptions. Besides, the compare between the risks of coffee,Ibovespa and dollar, all of them calculated by VaR …

credit risk management. Firstly, we study Value-at-Risk (VaR) and Expected Shortfall (ES) estimation. VaR and ES estimation … empirical study demonstrating VaR and ES calculation. A credit event in financial markets is defined as the event that a party …

-at-Risk (VaR) and the standard-deviation-type of measures. Based on a coherent risk measure, for instance ES, we can discuss a … about the reason for allocating ES, instead of VaR, the statistical properties of the statistic, marginal ES, from the …

Diese Dissertation besteht aus drei eigenständigen theoretischen Aufsätzen, in denen das Kreditrisiko von Firmen, die …

Verbriefungstransaktionen sind sogenannte collateralized debt obligations, kurz CDOs, die sich auf das Kreditrisiko von Portfolios bestehend aus …