risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …

The article describes the use of a Value at Risk measure to analyze the effectiveness of a bank. Among various existing … interest margins by using the Value at Risk measure. The newly established measures were then subjected to empirical tests … of risk-adjusted bank interest margins were calculated, which provided a way to set the minimum levels that can be …

buchhandel.de: Das Risikomanagement wird immer mehr zu einem wichtigen Hebel für den unternehmerischen Erfolg. Es …

"Quantitative risk assessments cannot eliminate risk, nor can they resolve trade-offs. They can, however, guide … principled risk management and reduction - if the quality of assessment is high and decision makers understand how to use it …. This book builds a unifying scientific framework for discussing and evaluating the quality of risk assessments and whether …

quantitative foundations of financial and risk engineering and its many applications to asset pricing and risk management. Covering …