Statements (23)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:financial_technology
|
| gptkbp:confidenceLevel |
specified probability
|
| gptkbp:estimatedCost |
potential loss
|
| https://www.w3.org/2000/01/rdf-schema#label |
Value at Risk Models
|
| gptkbp:includes |
gptkb:Monte_Carlo_simulation
historical simulation variance-covariance method |
| gptkbp:limitation |
assumes normal distribution
may underestimate tail risk |
| gptkbp:measures |
market risk
portfolio risk |
| gptkbp:output |
VaR number
|
| gptkbp:period |
specified period
|
| gptkbp:regulatoryRequirement |
gptkb:Basel_Accords
|
| gptkbp:relatedTo |
stress testing
Expected Shortfall credit risk models |
| gptkbp:usedBy |
banks
regulators investment firms |
| gptkbp:usedIn |
risk management
|
| gptkbp:bfsParent |
gptkb:Market_Risk_Analysis_(book_series)
|
| gptkbp:bfsLayer |
7
|