: ..
: CC-VAR
: 80
:
: 2019
: .. CC-VAR // . 80. .: , 2019. .40-56. DOI: https://doi.org/10.25728/ubs.2019.80.3
: VaR (CC-VaR), ࠖ, (...), ..., , ,
(.): continuous VaR-criterion, Newman-Pearson procedure, risk-preferences functions (r.p.f.), families and super-families of r.p.f., yield, correct families, volatility
: , (...), VaR (CC-VaR) . , - . ..., . CC-VaR . . .
(.): The work continues authors investigations connected with correctness conditions ascertained previously for families of risk-preferences functions (r.p.f.) that might be used in financial markets in problems of optimization on continuous VaR-criterion (CC-VaR). These conditions were used in analyzing an example of families deduced from the super-family of piecewise-linear functions by pure analytical means. Numerical methods of checking the correctness of r.p.f.-families that are useful when difficulties arise in analytical investigations are suggested. These methods are based on discrete algorithms of optimization under CC-VaR for scenario markets and solve correctness problems with quite high-degree approximation. Methods are tested on the former super-family and applied to the super-family of the generalized circles. Results demonstrate adequacy and generality of methodology.
PDF -
: 2316, : 816, : 15.