2 research outputs found
Market Risk: An introduction to the concept & analytics of Value-at-risk.
In recent years the concept of Value-at-risk has achieved prominence among risk managers for the purpose of market risk measurement and control. Spurred by the increasing complexity and volume of trade in derivatives, and by the numerous headline cases of institutions sustaining enormous losses from their derivatives activities, risk managers have acknowledged the need for a unified risk measurement and management strategy. Furthermore, the regulatory authorities, recognising the systemic threat posed by the growth and complexity of derivatives trading, moved swiftly to address this problem. As a result, the European Union approved EC/93/6, "The Capital Adequacy Directive", which mandates financial institutions to quantify and measure risk on an aggregate basis and to set aside capital to cover potential losses which might accrue from their market positions. More recently, the Basle committee of the BIS published an amendment to the "Capital Accord" which makes provision for the use of proprietary in-house models to be employed instead of the original framework. The proposed basis of these in-house models is the value-at-risk framework. In this paper, we present an introductory exposition to the concept of Value-at-risk describing, among other things, the methods commonly employed in its calculation, and a brief critique of each.
Shape grammar libraries of European classical architectural elements for historic BIM
This paper proposes a design for libraries of European Classical architectural elements based on shape grammars. This design is based on a workflow which develops library objects from 3D CAD primitives using architectural rules to construct parametric representations of architectural elements. In the case of Classical architecture, the design and detail for the parametric objects are based on manuscripts rangingfromVitruviustoPalladiotothearchitecturalpatternbooksoftheeighteenthcentury. The generation of 3D objects for virtual reconstruction necessitates the application of computer algorithms and rules introduced by the user to generate objects, buildings and spaces from a grammar and vocabulary of shapes. Both the use of graphicly constructed and coded parametric libraries in formal and open-source platforms will be considered here