On the Cognitive Surprise in Risk Management: An Analysis of the Value-at-Risk (VaR) Historical

@inproceedings{Baccan2015OnTC,
  title={On the Cognitive Surprise in Risk Management: An Analysis of the Value-at-Risk (VaR) Historical},
  author={Davi D'Andr{\'e}a Baccan and E. Sbruzzi and L. Macedo},
  booktitle={EPIA},
  year={2015}
}
Financial markets are environments in which a variety of products are negotiated by heterogeneous agents. In such environments, agents need to cope with uncertainty and with different kinds of risks. In trying to assess the risks they face, agents use a myriad of different approaches to somewhat quantify the occurrence of risks and events that may have a significant impact. In this paper we address the problem of risk management from the cognitive science perspective. We compute the cognitive… Expand
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