Data-analytic approaches to the estimation of Value-at-Risk

IEEE/IAFE Conference on Computational Intelligence for Financial Engineering, Proceedings (CIFEr)

Volumn 2003-January, Issue , 2003, Pages 271-277

  Fan, Jianqing ^a   Gu, Juan ^a  

^a CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Aggregates; Data security; Function approximation; Gaussian distribution; Loss measurement; Parametric statistics; Portfolios; Reactive power; Risk management; Time measurement

Indexed keywords

AGGREGATES; ARTIFICIAL INTELLIGENCE; GAUSSIAN DISTRIBUTION; REACTIVE POWER; RISK ASSESSMENT; RISK MANAGEMENT; SECURITY OF DATA; TIME MEASUREMENT; VALUE ENGINEERING;

ANALYTIC APPROACH; CONFIDENCE LEVELS; EMPIRICAL STUDIES; FUNCTION APPROXIMATION; LOSS MEASUREMENT; NON-PARAMETRIC TECHNIQUES; PORTFOLIOS; TIME DEPENDENT;

RISK PERCEPTION;

EID: 84926322466     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/CIFER.2003.1196271     Document Type: Conference Paper

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