The identification, assessment, and prioritization of risks, followed by coordinated and economical application of resources to minimize, monitor, and control the probability and/or impact of unfortunate events or to maximize the realization of opportunities.
10
votes
0answers
149 views
A non parametric study of VaR with kernel density
I'm working in order to compare the calculation of the VaR between the methodology of copulas and kernel density, all this by using the software r.
The process that I follow is:
Obtain a sample ...
7
votes
0answers
81 views
Regression in liquidity risk model of Jarrow/Protter
In the paper "Liquidity Risk and Risk Measure Computation" authors describe a linear supply curve model for liquidity risks in presence of market
impact, i.e. impact-affected asset price $S(t,x)$ is ...
6
votes
0answers
129 views
Consistency of economic scenarios in nested stochastics simulation
I am interested in references on research regarding the consistency of economic scenarios in nested stochastics for risk measurement.
Background:
Pricing by Monte-Carlo:
For pricing complex ...
6
votes
0answers
556 views
Modelling with negative interest rates
For a project, I am interested to model the impact of recently negative interest bonds on the portfolio. The literature on modelling negative interest rates is limited, and the only theory I could ...
5
votes
0answers
155 views
How to build an electricity portfolio for an electricity production company?
I am referring to an electricity production company. Company is located in AsiaPac. The power is generated using Natural Gas fired combined-cycle power plants. Then this electricity is distributed to ...
2
votes
0answers
66 views
Quantitative risk management strategy for a large participant in an illiquid market
Are there any practical quantitative risk management strategies for a large participant in an illiquid market with a few dominant players? By a large partcipant I mean someone who
has significant ...
1
vote
0answers
99 views
Market Exposure and Hedging
Normally the Market exposure associated with your stock/portfolio is your delta for that stock/ portfolio. Basic idea of hedging involved here is buying/selling respective futures depending upon ...
