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- Financial_risk_modeling abstract "Financial risk modeling refers to the use of formal econometric techniques to determine the aggregate risk in a financial portfolio. Risk modeling is one of many subtasks within the broader area of financial modeling.Risk modeling uses a variety of techniques including market risk, value at risk (VaR), historical simulation (HS), or extreme value theory (EVT) in order to analyze a portfolio and make forecasts of the likely losses that would be incurred for a variety of risks. Such risks are typically grouped into credit risk, liquidity risk, market risk, and operational risk categories.Many large financial intermediary firms use risk modeling to help portfolio managers assess the amount of capital reserves to maintain, and to help guide their purchases and sales of various classes of financial assets. Formal risk modeling is required under the Basel II proposal for all the major international banking institutions by the various national depository institution regulators. In the past, risk analysis was done qualitatively but now with the advent of powerful computing software, quantitative risk analysis can be done quickly and effortlessly.Modeling the changes by distributions with finite variance is now known to be inappropriate. Benoît Mandelbrot found in the 1960s that changes in prices in financial markets do not follow a Gaussian distribution, but are rather modeled better by Lévy stable distributions. The scale of change, or volatility, depends on the length of the time interval to a power a bit more than 1/2. Large changes up or down, also called fat tails, are more likely than what one would calculate using a Gaussian distribution with an estimated standard deviation.".
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- Financial_risk_modeling wikiPageWikiLink Asset.
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- Financial_risk_modeling wikiPageWikiLink Category:Business_economics.
- Financial_risk_modeling wikiPageWikiLink Category:Financial_risk.
- Financial_risk_modeling wikiPageWikiLink Corporate_scandals.
- Financial_risk_modeling wikiPageWikiLink Credit_risk.
- Financial_risk_modeling wikiPageWikiLink Damiano_Brigo.
- Financial_risk_modeling wikiPageWikiLink Econometric.
- Financial_risk_modeling wikiPageWikiLink Econometrics.
- Financial_risk_modeling wikiPageWikiLink Enron.
- Financial_risk_modeling wikiPageWikiLink Extreme_value_theory.
- Financial_risk_modeling wikiPageWikiLink Fat-tailed_distribution.
- Financial_risk_modeling wikiPageWikiLink Financial_crisis_of_2007–08.
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- Financial_risk_modeling wikiPageWikiLink Levy_function.
- Financial_risk_modeling wikiPageWikiLink Liquidity_risk.
- Financial_risk_modeling wikiPageWikiLink List_of_corporate_collapses_and_scandals.
- Financial_risk_modeling wikiPageWikiLink Lévy_distribution.
- Financial_risk_modeling wikiPageWikiLink Market_risk.
- Financial_risk_modeling wikiPageWikiLink Normal_distribution.
- Financial_risk_modeling wikiPageWikiLink Operational_risk.
- Financial_risk_modeling wikiPageWikiLink Portfolio_(finance).
- Financial_risk_modeling wikiPageWikiLink Power_law.
- Financial_risk_modeling wikiPageWikiLink Risk_analysis_(Business).
- Financial_risk_modeling wikiPageWikiLink Risk_analysis_(business).
- Financial_risk_modeling wikiPageWikiLink Sarbanes-Oxley_Act.
- Financial_risk_modeling wikiPageWikiLink Sarbanes–Oxley_Act.
- Financial_risk_modeling wikiPageWikiLink Standard_deviation.
- Financial_risk_modeling wikiPageWikiLink The_New_Palgrave:_A_Dictionary_of_Economics.
- Financial_risk_modeling wikiPageWikiLink The_New_Palgrave_Dictionary_of_Economics.
- Financial_risk_modeling wikiPageWikiLink Value_at_risk.
- Financial_risk_modeling wikiPageWikiLinkText "Financial risk modeling".
- Financial_risk_modeling wikiPageWikiLinkText "factor-based risk models".
- Financial_risk_modeling wikiPageWikiLinkText "financial modeling".
- Financial_risk_modeling wikiPageWikiLinkText "financial risk modeling".
- Financial_risk_modeling wikiPageWikiLinkText "statistical factor risk models".
- Financial_risk_modeling hasPhotoCollection Financial_risk_modeling.
- Financial_risk_modeling wikiPageUsesTemplate Template:Cite_book.
- Financial_risk_modeling wikiPageUsesTemplate Template:Finance-stub.
- Financial_risk_modeling wikiPageUsesTemplate Template:Financial_risk.
- Financial_risk_modeling wikiPageUsesTemplate Template:Reflist.
- Financial_risk_modeling subject Category:Actuarial_science.
- Financial_risk_modeling subject Category:Business_economics.
- Financial_risk_modeling subject Category:Financial_risk.
- Financial_risk_modeling type Field.
- Financial_risk_modeling comment "Financial risk modeling refers to the use of formal econometric techniques to determine the aggregate risk in a financial portfolio. Risk modeling is one of many subtasks within the broader area of financial modeling.Risk modeling uses a variety of techniques including market risk, value at risk (VaR), historical simulation (HS), or extreme value theory (EVT) in order to analyze a portfolio and make forecasts of the likely losses that would be incurred for a variety of risks.".
- Financial_risk_modeling label "Financial risk modeling".
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- Financial_risk_modeling sameAs Q5449740.
- Financial_risk_modeling sameAs Q5449740.
- Financial_risk_modeling wasDerivedFrom Financial_risk_modeling?oldid=644290476.
- Financial_risk_modeling isPrimaryTopicOf Financial_risk_modeling.