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The top documents tagged [day var]
Var Problems
6.817 views
Value at Risk By A.V. Vedpuriswar June 14, 2014. Introduction VAR tells us the maximum loss a portfolio may suffer at a given confidence interval for
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Free Market Risk Management Portal For Small Banks And Companies
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XIV International Conference on Economic and Social Development, 2-5 April 2013, Moscow A new copula approach for high-dimensional real world portfolios
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Manulife Financial Corporation operates as John Hancock in the United States, and Manulife in other parts of the world. Enterprise Risk Management in Life
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Market Risk – Internal Model Approach K.G.Bhandari IndusInd Bank Ltd. March 15, 2010 Indian Banks’ Association 4 th Annual summit 2010
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I. INTRODUCTION Spurred by regulators, financial institutions have invested significant resources in risk management over the last decade. An actuarial
218 views
HullRMFI4eCh12
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Forecasting VaR and Risk Mangement under Basel Accords Michael McAleer
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VaR Methods IEF 217a: Lecture Section 6 Fall 2002 Jorion, Chapter 9 (skim)
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Mark Staley Risk & Capital Modeling Group, Quantitative Analytics – Trading Risk April 2010 The Incremental Risk Charge in Basel II
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XIV International Conference on Economic and Social Development, 2-5 April 2013, Moscow
45 views