'Historical simulation' presentation slideshows

June 8, 2005

DSST Ensemble Verification Call 4 Slides Kevin Warner Hank Herr Won Kwock/Edwin Welles Julie Demargne. June 8, 2005. CBRFC MRF Project. DSST Verification Call June 8, 2005 Kevin Werner NWS/WRH/SSD. Outline. MRF / ESP hindcasting experiment Pseudo reforecasting code

921 views • 76 slides

Measuring Market Risk in EU New Member States

398 views • 37 slides

VaR Methods

VaR Methods. VaR. Portfolio theory: risk should be measure at the level of the portfolio ? not single asset Financial risk management before 1990 was measured at a level of a desk ? equity risk, currency risk, etc. all measured separately!

402 views • 30 slides

Estimating Value at Risk via Markov Switching ARCH models

Estimating Value at Risk via Markov Switching ARCH models. An Empirical Study on Stock Index Returns. Value at Risk (hereafter, VaR) is at the center of the recent interest in the risk management field. Bank for International Settlements (BIS)

382 views • 28 slides

Market Risk VaR: Historical Simulation Approach N. Gershun

Market Risk VaR: Historical Simulation Approach N. Gershun. Historical Simulation. Collect data on the daily movements in all market variables. The first simulation trial assumes that the percentage changes in all market variables are as on the first day

608 views • 26 slides

Future Directions in Globally Coordinated Climate Change Research

Future Directions in Globally Coordinated Climate Change Research. Primary Sources: IPCC Expert Meeting on New Scenarios + CMIP5/CMIP6/SSP Plans. Approaches to Scenario Development. Previous (SRES). Current (RCPs). Representative Concentration Pathways. RCP8.5 > 8.5 W/m 2 in 2100

198 views • 19 slides

Repo with the CCP (Risk Management System)

Repo with the CCP (Risk Management System). December 04, 2012 Moscow. Sergey Gorbachenko Head of Clearing CJSC JSCB National Clearing Centre. Main Principles of the Risk Management System.

308 views • 16 slides

Climate Change Working Group (CCWG) July, 2004 Co-chairs: Gerald A. Meehl, Ben Santer, and

Climate Change Working Group (CCWG) July, 2004 Co-chairs: Gerald A. Meehl, Ben Santer, and Warren Washington. Currently Active Global Coupled Climate Models. PCM atmosphere: CCM3.2, T42, 18L ocean: POP, 2/3 to 1/2 degree in eq. Tropics, 32L,

296 views • 15 slides

Value At Risk

185 views • 8 slides