edoc-Server der Humboldt-Universität zu Berlin

SPEPS Preprint

Author(s): Jitka Dupacová, Charles University Prague
Jan Polivka, Charles University Prague
Title: Stress Testing for VaR an CVaR
Date of Acceptance: 12.01.2005
Submission Date: 06.12.2004
Series Title: Stochastic Programming E-Print Series
(SPEPS)
Editors: Julie L. Higle; Werner Römisch; Surrajeet Sen
Complete Preprint: pdf (urn:nbn:de:kobv:11-10046365)
Keywords (eng): Scenario-based stochastic programs, validation of results, stress testing, contamination bounds, VaR, CVaR
Metadata export: To export the complete metadata set as Endote or Bibtex format please click to the appropriate link. Endnote   Bibtex  
print on demand: If you click on this icon you can order a print copy of this publication. Bestellung als gedruckte und gebundene Version bei epubli.de, Ausführung der Bestellung erst nach Bestätigung auf den epubli.de-Seiten
Diese Seite taggen: These icons lead to social bookmarking systems where you can create and manage personal bookmarks and discover bookmakrs of other users.
  • connotea
  • del.icio.us
  • Furl
  • RawSugar

Abstract (eng):
Practical use of the contamination technique in stress testing for risk measures Value at Risk (VaR) and Conditional Value at Risk (CVaR) and for optimization problems with these risk criteria is discussed. Whereas for CVaR its application is straightforward, the presence of the simple chance constraint in the definition of VaR requires that various distributional and structural properties are fulfilled, namely, for the unperturbed problem. These requirements rule out direct applications of the contamination technique in the case of discrete distributions, which includes the empirical VaR. On the other hand, in the case of a normal distribution and parametric VaR one may exploit stability results valid for quadratic programs.
Access Statistics: These data concerning access statistics for individual documents have been compiled using the webserver log files aggregated by AWSTATS. They refer to a monthly access count to the full text documents as well as to the entry page.
 
As for format versions of a document which consist of multiple files (such as HTML) the highest monthly access number to one of the files (chapters) is shown respectivly.
 
To see the detailled access numbers please move the mouse pointer over the single bars of the digaram.
Startseite: 2 ZugriffePDF: 27 ZugriffePDF: 19 ZugriffeStartseite: 4 ZugriffePDF: 11 ZugriffePDF: 4 ZugriffeStartseite: 1 ZugriffePDF: 10 ZugriffePDF: 7 ZugriffePDF: 13 ZugriffePDF: 9 ZugriffePDF: 9 ZugriffeStartseite: 3 ZugriffePDF: 8 ZugriffePDF: 40 ZugriffePDF: 23 ZugriffeStartseite: 2 ZugriffePDF: 34 ZugriffeStartseite: 1 ZugriffePDF: 21 ZugriffePDF: 15 ZugriffePDF: 18 ZugriffePDF: 6 ZugriffePDF: 19 ZugriffePDF: 9 ZugriffePDF: 14 ZugriffePDF: 22 Zugriffe
May
11		Jun
11		Jul
11		Aug
11		Sep
11		Oct
11		Nov
11		Dec
11		Jan
12		Feb
12		Apr
12		May
12		Jun
12		Jul
12		Aug
12		Sep
12		Oct
12		Nov
12		Dec
12		Jan
13		Apr
13

MonatMay
11		Jun
11		Jul
11		Aug
11		Sep
11		Oct
11		Nov
11		Dec
11		Jan
12		Feb
12		Apr
12		May
12		Jun
12		Jul
12		Aug
12		Sep
12		Oct
12		Nov
12		Dec
12		Jan
13		Apr
13
Startseite2 4 1    3  21       
PDF27191141071399840233421151861991422

Gesamtzahl der Zugriffe seit May 2011:

  • Startseite – 13 (0.62 pro Monat)
  • PDF – 338 (16.1 pro Monat)
    •  
 
Generated at 22.05.2013, 03:54:45

edoc-Server der Humboldt-Universität zu Berlin  •  Impressum  •  edoc@cms.hu-berlin.de  •  Nutzungsbedingungen  •  Haftungsausschluss  •  Statistik