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Value at risk
Known as:
Value-at-risk
, Var
Value at Risk (VaR) is a measure of the risk of investments. It estimates how much a set of investments might lose, given normal market conditions…
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Related topics
Related topics
25 relations
Backtesting
Coherent risk measure
Distortion risk measure
Ecosystem valuation
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Broader (1)
Monte Carlo methods in finance
Papers overview
Semantic Scholar uses AI to extract papers important to this topic.
2015
2015
Maximization of AUC and Buffered AUC in Classification
Matthew Norton
,
S. Uryasev
2015
Corpus ID: 18273220
This paper utilizes a new concept, called Buffered Probability of Exceedance (bPOE), to introduce an alternative to the Area…
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2013
2013
SIMULATION ANALYSIS OF STATIC VAR COMPENSATOR BASED ON THE MATLAB / SIMLINK 1
Yanzhou Sun
,
Lin Wei
2013
Corpus ID: 128336754
As a new kind of measure to control voltage, Static Var Compensator can rapidly, accurately and continuously adjust voltage of…
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2010
2010
FLEXIBILITY AND PROJECT VALUE: INTERACTIONS AND MULTIPLE REAL OPTIONS
Miroslav Čulík
2010
Corpus ID: 49732362
This paper is focused on a project valuation with embedded portfolio of real options including their interactions. Valuation is…
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2010
2010
SADDLE POINT APPROXIMATION AND VOLATILITY ESTIMATION OF VALUE-AT-RISK
M. Tian
,
N. Chan
2010
Corpus ID: 55543043
Value-at-Risk (VaR) is a commonly used risk measure adopted by finan- cial engineers and regulators alike. Many of the techniques…
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2008
2008
Robust Portfolio Optimization Using Conditional Value At Risk Final Report
Wei Ning Cho
2008
Corpus ID: 168240488
In this report, we propose a worst-case robust multi-period portfolio optimization model using conditional value at risk. We use…
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2006
2006
Riesgo operacional: reto actual de las entidades financieras
J. Arbeláez
,
L. C. Franco
,
+10 authors
D. Varela
2006
Corpus ID: 108801442
El presente articulo es uno de los resultados de un proyecto de investigacion sobre gestion integral del riesgo operacional…
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2003
2003
A Bayesian Confidence Interval for Value-at-Risk
Patricio H Contreras
,
S. Satchell
2003
Corpus ID: 55898235
This study assesses the accuracy of the value-at-risk estimate (VaR). On the basis of posterior distributions of the unknown…
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2003
2003
RISK BALANCING STRATEGIES IN THE FLORIDA DAIRY INDUSTRY: AN APPLICATION OF CONDITIONAL VALUE AT RISK
M. Zylstra
,
R. Kilmer
,
S. Uryasev
2003
Corpus ID: 166293739
Legislation has prompted changes in milk price volatility. Milk price volatility impacts the producer's exposure to business risk…
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2000
2000
Estimation of Value-at-Risk Using MCMC
L. Gang
2000
Corpus ID: 63580067
In order to overcome the limitations of Monte Carlo simulation method in computing VaR, i.e. high-dimensionality and static…
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1993
1993
Nutritional value of faba beans [Vicia faba L.] fed to young pigs
W. Grala
,
A. Jansman
,
P. V. Leeuwen
,
J. Huisman
,
G. V. Kempen
,
M. Verstegen
1993
Corpus ID: 55952602
The nutritional value of four varieties of faba beans (Vicia faba L.) originating from Poland (var. Kamir and Martin) and the…
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