Problems of Value At Risk - A Critical View
-
- ¥1,600
-
- ¥1,600
Publisher Description
This seminar paper is divided in the following chapters:
1. Definition of Value at Risk: What is VaR, several definitions of this figure.
2. The three common approaches for calculating Value at Risk: Historical simulation,
Monte Carlo simulation, Variance-Covariance model.
3. The critical view: Problems and limitations of Value at Risk. Which approach can be meaningfully used and when not? Why is Value at Risk not the “only truth” in financial institutions? What are the strengths and weaknesses of the several approaches in calculating Value at Risk?
GENRE
Business & Personal Finance
RELEASED
2010
November 26
LANGUAGE
EN
English
LENGTH
9
Pages
PUBLISHER
GRIN Verlag
SELLER
Open Publishing GmbH
SIZE
1.5
MB
Deep Dive into Financial Models
2016
Corporate Risk Management
2019
Report on Analysis of the 260-Day Value at Risk (VAR) of Portfolio of Shares
2014
Investment Analytics in the Dawn of Artificial Intelligence
2019
Risk Modeling for Appraising Named Peril Index Insurance Products
2017
Financial Economics and Econometrics
2021