- Closed form Value at Risk
- ограниченный VAR. метод определения VAR для простых портфелей. (a methodology for estimating value at risk (VAR) for simple portfolios) . Словарь терминов по риск-медеджменту .
Англо-русский экономический словарь.
Closed form Value at Risk
Смотреть что такое "Closed form Value at Risk" в других словарях:
closed form solution — A solution to a math problem that can be obtained from simple formulas. Risk modelers and investors can use closed form solutions such as Black Scholes or Vasicek models to value options. Also known as analytical solution. See one factor model.… … Financial and business terms
closed-form solution — A solution to a math problem that can be obtained from simple formulas. Risk modelers and investors can use closed form solutions such as Black Scholes or Vasicek models to value options. Also known as analytical solution. See one factor model.… … Financial and business terms
Settlement risk — is the risk that a counterparty does not deliver a security or its value in cash as per agreement when the security was traded after the other counterparty or counterparties have already delivered security or cash value as per the trade agreement … Wikipedia
Option (finance) — Stock option redirects here. For the employee incentive, see Employee stock option. Financial markets Public market Exchange Securities Bond market Fixed income … Wikipedia
bank — bank1 /bangk/, n. 1. a long pile or heap; mass: a bank of earth; a bank of clouds. 2. a slope or acclivity. 3. Physical Geog. the slope immediately bordering a stream course along which the water normally runs. 4. a broad elevation of the sea… … Universalium
Binomial options pricing model — BOPM redirects here; for other uses see BOPM (disambiguation). In finance, the binomial options pricing model (BOPM) provides a generalizable numerical method for the valuation of options. The binomial model was first proposed by Cox, Ross and… … Wikipedia
Bond duration — Financial markets Public market Exchange Securities Bond market Fixed income Corporate bond Government bond Municipal bond … Wikipedia
Real options valuation — Real options valuation, also often termed Real options analysis,[1] (ROV or ROA) applies option valuation techniques to capital budgeting decisions.[2] A real option itself, is the right but not the obligation to undertake some business decision; … Wikipedia
Black–Scholes — The Black–Scholes model (pronounced /ˌblæk ˈʃoʊlz/[1]) is a mathematical model of a financial market containing certain derivative investment instruments. From the model, one can deduce the Black–Scholes formula, which gives the price of European … Wikipedia
Markov switching multifractal — In financial econometrics, the Markov switching multifractal (MSM) is a model of asset returns that incorporates stochastic volatility components of heterogeneous durations.[1][2] MSM captures the outliers, log memory like volatility persistence… … Wikipedia
Mortgage-backed security — Securities Securities Bond Stock Investment fund Derivative Structured finance Agency security … Wikipedia
