implementation of a value at risk system

... Monte Carlo simulation is part of a generic approach to value at risk By simulating return data based on past information or estimations, the same concept of the historical simulation can be applied ... categories of value at risk approach To offer a valuable comparison, there will be at least one approach analyzed per category, where emphasis will be put on the parametric approaches, which are ... applied and a value at risk derived Comparing the most eminent representatives of each approach category, namely historical simulation, variance-covariance approach5 based on normal distribution, and

Ngày tải lên: 09/01/2020, 17:49

... and Associate Dean of Faculty of Science and Technology, at Athabasca University, Canada His work has been dedicated to advancing research on the innovative paradigms, architectures and implementations ... Education National Taiwan Normal University, Taiwan E-mail: kchang@ntnu.edu.tw Yao-Ting Sung Department of Educational Psychology and Counseling National Taiwan Normal University, Taiwan E-mail: ... Taiwan Normal University, Taiwan Chung-Hsien Lan Taoyuan Innovation Institute of Technology, Taiwan Kinshuk Athabasca University, Canada Kuo-En Chang Yao-Ting Sung National Taiwan Normal

Ngày tải lên: 10/01/2020, 06:41

... Monte Carlo simulation is part of a generic approach to value at risk By simulating return data based on past information or estimations, the same concept of the historical simulation can be applied ... categories of value at risk approach To offer a valuable comparison, there will be at least one approach analyzed per category, where emphasis will be put on the parametric approaches, which are ... applied and a value at risk derived Comparing the most eminent representatives of each approach category, namely historical simulation, variance-covariance approach5 based on normal distribution, and

Ngày tải lên: 15/01/2020, 19:40

... Monte Carlo simulation is part of a generic approach to value at risk By simulating return data based on past information or estimations, the same concept of the historical simulation can be applied ... categories of value at risk approach To offer a valuable comparison, there will be at least one approach analyzed per category, where emphasis will be put on the parametric approaches, which are ... applied and a value at risk derived Comparing the most eminent representatives of each approach category, namely historical simulation, variance-covariance approach5 based on normal distribution, and

Ngày tải lên: 26/04/2020, 21:48

... such as Value at Risk (VaR) and Conditional Value at Risk (CVaR), the analysis focuses on publicly available data spanning approximately 10 years to provide a comprehensive understanding of market ... that the Capital Asset Pricing Model (CAPM) was not validated.Though initial empirical studies support the CAPM (Fama and MacBeth RESEARCH METHODOLOGY AND DATADataThis study analyzes daily data ... and Kijima in 2005 Research by Yamai and Yoshiba from 2002 to 2005 explored various applications of CVaR Additionally, Pattarathammas et al (2008) focused on estimating both Value-at-Risk (VaR)

Ngày tải lên: 12/01/2022, 23:19

... areas of the school system, such as the organisation of inspectorates as well as the attitudes of important actors in the education system regarding the relevance of data to support internal and ... analysis show that the reform has had a great impact on the organisation of inspectorates, introducing modern principles such as teamwork and self-evaluation Also, it affected the attitudes of ... external evaluation through an Internet platform, which presents aggregate data from all answers to the questions asked in schools This database is regularly updated This is intended to facilitate

Ngày tải lên: 23/10/2022, 04:29

... as Value at Risk (VaR) and Conditional Value at Risk (CVaR), we aim to establish a relative level of market risk that reflects the current state of the international financial market in the ASEAN ... known as tail risk To address these limitations, Conditional Value-at-Risk (CVaR) has emerged as a viable alternative for measuring risk.Conditional Value-at-Risk (CVaR), also known as tail conditional ... Historical VaR and CVaR in Vietnam (2007-2016) To gain a detailed understanding of Vietnam's financial landscape, it is essential to analyze the smoothed average values of Value at Risk (VaR) and

Ngày tải lên: 04/10/2023, 10:41

... interact, and createpersonalized virtual spaces 3 Integrated Avatars and 3D Model Customization: The second goal is to enhance user identity and interaction by integratingavatars and enabling ... application of AI is in creating metaverse avatars Users can utilize AI tools to analyze 2D images or conduct 3D scans to generate avatarsthat look more realistic and accurate To make the process ... overallimmersive experience Avatars take center stage as virtual representations of users in themetaverse Ready Player Me integration allows for personalized avatar creation, ensuring a unique and

Ngày tải lên: 02/10/2024, 03:18

... Trang 1BỘ MÔN QUẢN TRỊ RỦI RO M ột đánh giá toàn diện về các phương pháp Value at risk (VaR) A comprehensive review of Value at Risk Lê Th ị Thanh (ường TC03 Lê Th ị Thanh Thái TC03 ... nghĩa l{: điều này suy ra Do V tl{ x|c định trước nên để tìm VaR của danh mục ta chỉ cần tính VaR của lợi suất r t Như vậy bây giờ thay vì tìm VaR của biến ngẫu nhiến ta đi tìm VaR của biến ... của TSSL có thể được chia ra thành 3 nhóm: họ GARCH, mô hình biến Trang 21động ngẫu nhiên (stochastic volatility models) và mô hình biến động nhận rõ (realised volatility based models) H ọ GARCH

Ngày tải lên: 29/12/2022, 10:35

... của hệ thống ngân hàng toàn cầu.Value at Risk (VaR) là thước đo quan trọng giúp xác định khoản lỗ tối đa có thể xảy ra khi giá trị danh mục tài sản giảm trong một khoảng thời gian nhất định VaR ... trước.Basel I, còn gọi là Thoả thuận Basel, là một thỏa thuận do Ủy ban Basel của Ngân hàng Gói giảm sốt (BSBC) ban hành nhằm khắc phục các vấn đề về quản lý rủi ro ngân hàng Thoả thuận này đưa ra ... xuất bởi Barone-Adesi v{ cộng sự  Phương ph|p Caviar, đề xuất bởi Engle v{ Manganelli  C|c phương ph|p có điều kiện v{ vô điều kiện dựatrên Lý thuyết gi| trị cực trị.Giá trị có rủi ro (VaR) là

Ngày tải lên: 29/12/2022, 15:28

... Trang 1 KHOA TAI CHINH BO MON QUAN TRI RUI RO Một đánh giá toàn diện về các phương pháp Value at risk (VaR) “A comprehensive review of Value at Risk methodologies” Pilar Abad, Sonia ... VaR của danh mục ta chỉ cần tính VaR của lợi suất r, Như vậy bây giờ thay vì tìm VaR của biến ngẫu nhiến AV (k) ta đi tìm VaR cua biến ngẫu nhiên r (TSSL ) sau đó nhân ngược trở lại với V; ta ... gian Một bộ lọc tốt hơn là theo định nghĩa dẫn đến một đánh giá tốt hơn về rủi ro 3.3.3.Mô hình CAViaR ( Conditional autoregression Value at risk) quan này trong việc tính VaR gọi là CAViaR

Ngày tải lên: 01/01/2024, 19:31

... Gaussian and Parametric Bootstrap 2 Years (1999-2000) 2 Years (2001-2002) 4 Years (1999-2002) Kernel and Assume Dependence Kernel and Assume IID Gaussian with Nonparametric Bootstrap Gaussian with Parametric ... Trang 84Returns (a)Returns (b) Trang 852 Years (1999-2000) 2 Years (2001-2002) 4 Years (1999-2002)Kernel and Assume Dependence Kernel and Assume IID Gaussian and Nonparametric Bootstrap Gaussian ... Trang 15; 'F<F 39E-Trang 184 &'*/ ,  (9 3&'N  3 L .( 4 b&' /1& ) * N4 /> D4GB ('.8.&M/ 4 .& ,4E /('('Z 3( 7 &'

Ngày tải lên: 26/11/2015, 23:08

... historical data related to all risk factors We must dispose of the data sample of the risk factor variations, called the window of observations Let T be t he size of the window of observations ... quest for a VaR-based risk-management system is hampered by several factors One is a lack of generally accepted standards that would apply to them Most works in the area of the VaR has been done ... Selection of Transformation Procedure: Choice of Appropriate VaR Model due to Data Sample nan-cial risk It is also used for regulatory capital requirement purposes in banking and insurance sectors VaR

Ngày tải lên: 28/08/2019, 08:49

... and implementation of the asthma treat smart system in a pediatric institution Knowledge Management & E-Learning, 7(3), 353–366. Trang 2Design and implementation of the asthma treat smart system ... implementing and maintaining an Asthma Treatment Smart System web-based application for the management of pediatric patients with chronic asthma 1.1 Asthma Asthma is one of the most common chronic diseases ... performed after the conclusion of the patient visit The Asthma Treat Smart (ATS) program combines six components of historical patient data to produce individualized asthma treatment compliant with

Ngày tải lên: 14/01/2020, 22:01

... consists of a set of elements called genes, which can take several values belonging to an alphabet which is not necessarily digital At each iteration, called generation, a new population is created ... Economics and Social Sciences Agdal - Rabat, Morocco 2 University of Mohamed V - Faculty of Law, Economics and Social Sciences Agdal - Rabat, Morocco 3 Department of Mathematics - Mohamed V University, ... problem as Sharpe, Stone, Konno and Yamazaki, and Hamza and Janssen Rudd and Rosenberg, and Hamzaand Janssen showed that the Markowitz model in its classic formulation still far from meeting satisfying

Ngày tải lên: 01/02/2020, 23:01

... the most up to date ‘‘truth’’ about the state of the data on disk The main difference is that database systems not use the log as the final repository for data: a separate data area is reserved ... separate data area of these database systems means that they not need the segment cleaning mechanisms of the Sprite LFS to reclaim log space The space occupied by the log in a database system can ... more skewed towards the utilization at which cleaning occurs; as a result, segments are cleaned at a higher average utilization benefit free space generated * age of data (1−u)*age = = cost cost...

Ngày tải lên: 12/09/2012, 15:05

... GEA Westfalia Separator is mostly used for waste water treatment (GEA, 2012) It consists of decanters and separators operating continuously that are efficient in clarification and separation, and ... Company, a brewpub located at Waterfront At SteamWorks, we asked how they dealt with waste grains, and found out that waste grains can be used for plant fertilizers and animal feed In fact, waste grains ... well as reducing disposal costs Another alternative for wastewater treatment is to transport the waste water to the Iona Island Sewage Treatment facility via the Greater Vancouver Regional District...

Ngày tải lên: 08/03/2014, 23:20

... nature to a data manager which fails to free data, but is easier to detect and prevent • Data manager changes data A malicious data manager may change the value of its data on each cache refresh ... access to cached data than the data manager has permitted (e.g., a write fault on a page made read-only by a pager_data_lock call), the kernel issues a pager_data_unlock call The data manager is ... Requests data from an external data manager pager_data_write(memory_object, offset, data, data_count) Writes data back to a memory object pager_data_unlock(memory_object, pager_request_port, offset,...

Ngày tải lên: 12/09/2012, 15:05

... valueis created,or determinedautomatically by the system Catalog Management: Each E-ADT can provide catalogs that maintain statisticsand storeschemainformation Further, certain valuesmay be named Query ... supports relational data as well as sequencedata, using a novel design paradigm of enhancedabstractdata types (BADTs ) The systemimplementation basedon this paradigmallows sequence relational queriesto ... on Management of Data, May 1994 [CS92] RakeshChandmand Arie Segev.ManagingTemporalFinancial Data in anExtensible Database.In Proceedings of the International Conference on Very Large Databases(VWB),...

Ngày tải lên: 16/03/2014, 16:20

... time to maturity w is the natural death rate of the immature prey population d1 is the natural death rate of the mature prey population d2 is the natural death rate of the predator population The ... constant r We also assume that the death rate of mature population is of a logistic nature, that is, proportional to the square of the population with proportionality constant η2 In this paper, we ... reproduction rate of the predators The predator population is birth pulse as intrinsic rate of natural increase and density dependence rate of predator population are denoted by a, b, respectively...

Ngày tải lên: 21/06/2014, 11:20