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Monte Carlo Value At Risk Introduction
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Presentation
Tag(s):
Value at Risk
,
VaR
,
Monte Carlo VaR
,
market risk
,
financial market
Search term matches:
Tag
...
var
...
Full Text
...
VaR
Introduction III: Monte Carlo
VaR
Monte Carlo
VaR
Summary ◆
VaR
Definition ◆
VaR
Roles ...
Parametric VaR Introduction
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Presentation
Tag(s):
Value at Risk
,
VaR
,
parametric VaR
,
market risk
,
financial market
,
trading risk
,
risk analytics
Search term matches:
Title
... Parametric
VaR
Introduction ...
Tag
...
var
...
Full Text
...
VaR
Introduction I: Parametric
VaR
Parametric
VaR
Summary ◆
VaR
Definition ◆
VaR
Roles ◆
VaR
...
Market Risk Economic Capital
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Presentation
Tag(s):
Economic capital
,
market risk
,
VaR
,
unexpected loss
,
time horizon scaling
,
confidence level scaling
Search term matches:
Tag
...
var
...
Full Text
... into the category of Value at Risk (
VaR
) measures as both try to capture value change due to market movement ...
Historical VaR
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Presentation
Tag(s):
value at risk
,
VAR
,
historical VaR
Search term matches:
Title
... Historical
VaR
...
Tag
...
var
...
Full Text
...
VaR
Introduction II: Historical
VaR
Historical
VaR
Summary ◆
VaR
Definition ◆
VaR
Roles ◆
VaR
...
A New Model for Pricing Collateralized Financial Derivatives
Author(s):
Tim Xiao
(see profile)
Date:
2017
Group(s):
Business Management
,
Scholarly Communication
Item Type:
Article
Tag(s):
asset pricing
,
collateralization
,
CVA
,
interaction between market and credit risk
,
plumbing of financial system
,
swap premium spread
,
VaR
Search term matches:
Tag
...
var
...
Full Text
... premium spread, CVA,
VaR
, interaction between market and credit risk 1 Email: tim ...
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