Problems of Value At Risk - A Critical View - Couverture souple

Melichar, Alexander

 
9783640761616: Problems of Value At Risk - A Critical View
Couverture souple
ISBN 10 : 3640761618 ISBN 13 : 9783640761616
Editeur : GRIN Publishing, 2010

Synopsis

Seminar paper from the year 2009 in the subject Business economics - Controlling, grade: 1,5, University of Innsbruck (Institut für Banken und Finanzen), course: Seminar SBWL Risk Management, language: English, abstract: 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 calating Value at Risk: Historical simulation, Monte Carlo simulation, Variance-Covariance model. 3. The critical w: 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 calating Value at Risk?

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Éditeur
GRIN Publishing
Date d'édition
2010
Langue
anglais
ISBN 10 
3640761618
ISBN 13 
9783640761616
Reliure
Broché
Nombre de pages
20
Coordonnées du fabricant
non disponible
Personne responsable
non disponible