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Liquidity at risk

The Liquidity-at-Risk (short: LaR) is a measure of the liquidity risk exposure of a financial portfolio. It may be defined as the net liquidity drain which can occur in the portfolio in a given risk s

Quasi-Monte Carlo methods in finance

High-dimensional integrals in hundreds or thousands of variables occur commonly in finance. These integrals have to be computed numerically to within a threshold . If the integral is of dimension then

Credit valuation adjustment

Credit valuation adjustments (CVAs) are accounting adjustments made to reserve a portion of profits on uncollateralized financial derivatives. They are charged by a bank to a risky (capable of default

Potential future exposure

Potential future exposure (PFE) is the maximum expected credit exposure over a specified period of time calculated at some level of confidence (i.e. at a given quantile). PFE is a measure of counterpa

Stochastic investment model

A stochastic investment model tries to forecast how returns and prices on different assets or asset classes, (e. g. equities or bonds) vary over time. Stochastic models are not applied for making poin

Stochastic modelling (insurance)

"Stochastic" means being or having a random variable. A stochastic model is a tool for estimating probability distributions of potential outcomes by allowing for random variation in one or more inputs

Monte Carlo methods in finance

Monte Carlo methods are used in corporate finance and mathematical finance to value and analyze (complex) instruments, portfolios and investments by simulating the various sources of uncertainty affec

Historical simulation (finance)

Historical simulation in finance's value at risk (VaR) analysis is a procedure for predicting the value at risk by 'simulating' or constructing the cumulative distribution function (CDF) of assets ret

Profit at risk

Profit-at-Risk (PaR) is a risk management quantity most often used for electricity portfolios that contain some mixture of generation assets, trading contracts and end-user consumption. It is used to

Statistical finance

Statistical finance, is the application of econophysics to financial markets. Instead of the normative roots of finance, it uses a positivist framework. It includes exemplars from statistical physics

Agent-based computational economics

Agent-based computational economics (ACE) is the area of computational economics that studies economic processes, including whole economies, as dynamic systems of interacting agents. As such, it falls

Datar–Mathews method for real option valuation

The Datar–Mathews Method (DM Method) is a method for real options valuation. The method provides an easy way to determine the real option value of a project simply by using the average of positive out

Expected shortfall

Expected shortfall (ES) is a risk measure—a concept used in the field of financial risk measurement to evaluate the market risk or credit risk of a portfolio. The "expected shortfall at q% level" is t

Value at risk

Value at risk (VaR) is a measure of the risk of loss for investments. It estimates how much a set of investments might lose (with a given probability), given normal market conditions, in a set time pe

Brownian model of financial markets

The Brownian motion models for financial markets are based on the work of Robert C. Merton and Paul A. Samuelson, as extensions to the one-period market models of Harold Markowitz and William F. Sharp

XVA

An X-Value Adjustment (XVA, xVA) is an umbrella term referring to a number of different “valuation adjustments” that banks must make when assessing the value of derivative contracts that they have ent

Tail value at risk

Tail value at risk (TVaR), also known as tail conditional expectation (TCE) or conditional tail expectation (CTE), is a risk measure associated with the more general value at risk. It quantifies the e

Wilkie investment model

The Wilkie investment model, often just called Wilkie model, is a stochastic asset model developed by A. D. Wilkie that describes the behavior of various economics factors as stochastic time series. T

Margin at risk

The Margin-at-Risk (short: MaR) is a quantity used to manage short-term liquidity risks due to variation of margin requirements, i.e. it is a financial risk occurring when trading commodities. Similar

Monte Carlo methods for option pricing

In mathematical finance, a Monte Carlo option model uses Monte Carlo methods to calculate the value of an option with multiple sources of uncertainty or with complicated features. The first applicatio

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