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Risks in Value-at-Risk

Kent Osband

in Pandora's Risk: Uncertainty at the Core of Finance

Published in print:
2014
Published Online:
November 2015
ISBN:
9780231151733
eISBN:
9780231525411
Item type:
chapter
Publisher:
Columbia University Press
DOI:
10.7312/columbia/9780231151733.003.0010
Subject:
Economics and Finance, Financial Economics

This chapter presents the flaws of Value-at-Risk methodology—a statistical technique used to measure the level of financial risk within a firm or investment portfolio over a specific time frame. ... More


Value Based Enterprise Risk Management Practices*

Torben Juul Andersen, Maxine Garvey, and Oliviero Roggi

in Managing Risk and Opportunity: The Governance of Strategic Risk-Taking

Published in print:
2014
Published Online:
June 2014
ISBN:
9780199687855
eISBN:
9780191767333
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199687855.003.0004
Subject:
Economics and Finance, Financial Economics

This chapter presents the extensive enterprise risk management processes at work. After discussing why proactive risk management is important for value generation, the chapter links the traditional ... More


Energy Risk Management

Thomas Barkley

in Commodities: Markets, Performance, and Strategies

Published in print:
2018
Published Online:
March 2018
ISBN:
9780190656010
eISBN:
9780190656041
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780190656010.003.0024
Subject:
Economics and Finance, Financial Economics

The backdrop of rapid growth of worldwide energy consumption and increasing concerns about global energy sustainability and environment protection, as well as an increasing uncertainty of commodity ... More


Reducing the White-Space

Yossi Sheffi

in The Power of Resilience: How the Best Companies Manage the Unexpected

Published in print:
2015
Published Online:
May 2016
ISBN:
9780262029797
eISBN:
9780262330626
Item type:
chapter
Publisher:
The MIT Press
DOI:
10.7551/mitpress/9780262029797.003.0003
Subject:
Economics and Finance, Financial Economics

The 2011 Japanese quake affected many companies and illustrates the growing problem with deep-tier supply chain disruptions in which the suppliers of suppliers are affected. Chapter 3 examines GM’s ... More


Risk and Liquidity

Hyun Song Shin

Published in print:
2019
Published Online:
October 2019
ISBN:
9780198847069
eISBN:
9780191884313
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780198847069.001.0001
Subject:
Economics and Finance, Financial Economics

Risk is endogenous. It builds up during booms, as measured risks fall and individual market participants increase their risk-taking. Risk is then manifested during downturns, as measured risks rise ... More


Nature of Financial Risk

Hyun Song Shin

in Risk and Liquidity

Published in print:
2019
Published Online:
October 2019
ISBN:
9780198847069
eISBN:
9780191884313
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780198847069.003.0001
Subject:
Economics and Finance, Financial Economics

Risk is endogenous. The brief opening and then the closing of the Millennium Bridge in London in 2000 illustrates how market prices play a dual role: they are simultaneously a reflection of market ... More


Testing for Strategic Manipulation of Economic and Financial Data

Charles C. Moul and John V. C. Nye

in Benford's Law: Theory and Applications

Published in print:
2015
Published Online:
October 2017
ISBN:
9780691147611
eISBN:
9781400866595
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691147611.003.0013
Subject:
Mathematics, Probability / Statistics

This chapter surveys applications of Benford's law within economics, such as its use in investigating the validity of macroeconomic data series. It argues that, given the strong interest in strategic ... More


Resizing Risks

Kent Osband

in Pandora's Risk: Uncertainty at the Core of Finance

Published in print:
2014
Published Online:
November 2015
ISBN:
9780231151733
eISBN:
9780231525411
Item type:
chapter
Publisher:
Columbia University Press
DOI:
10.7312/columbia/9780231151733.003.0011
Subject:
Economics and Finance, Financial Economics

This chapter presents ways in which Value-at-Risk (VaR) can become useful in calculating financial risk. VaR may yield efficient results in measuring risk by applying range measures, implied ... More


The Macroeconomic Effects of Oil Price Shocks: Why Are the 2000s so Different from the 1970s?

Olivier J. Blanchard and Jordi Galí

in International Dimensions of Monetary Policy

Published in print:
2010
Published Online:
February 2013
ISBN:
9780226278865
eISBN:
9780226278872
Item type:
chapter
Publisher:
University of Chicago Press
DOI:
10.7208/chicago/9780226278872.003.0008
Subject:
Economics and Finance, Macro- and Monetary Economics

This chapter discusses the large output losses and the rises in inflation rates that accompanied the two oil shocks of 1970 in most industrialized countries, and shows the more recent absence of ... More


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