.../methodology/approach Simulation models and value-at-risk (VaR) criteria are used to evaluate the impact of capital reserve requirements on lending return on equity. In addition, simulations are used to calculate the effects of loan numbers and portfolio diversification on capital reserve requirements...

... US stocks, and copula estimation, the paper quantifies the correlation in potential investment portfolios. The information obtained from the copula estimated dependence measures and Value at Risk (VaR) allows to examine the diversification benefits of holding agribusiness stocks in the portfolio...

... by hedging is appreciable, but use of derivative contracts alone is clearly no panacea. © MCB UP Limited 2003 Crop insurance Derivatives Hedging Reinsurance Value at risk Could the Government Manage Its Exposure to Crop Reinsurance Risk? Dermot J. Hayes, Sergio H. Lence, and Chuck Mason...

... insurance, reinsurance, Risk Management Agency, systemic risk, value at risk Chuck Mason is senior analyst, Structured Transactions Department, Radian Guaranty, Inc., Philadelphia. Dermot J. Hayes is Pioneer Hi-Bred Professor of Agribusiness, and Sergio H. Lence is associate professor, both...

...Brent A. Gloy; Timothy G. Baker Several criteria that produce rankings of risk management strategies are evaluated. The criteria considered are expected return, value at risk, the Sharpe ratio, the necessary condition for first‐degree stochastic dominance with a risk‐free asset, and the necessary...