Problems of Value At Risk - A Critical View by Alexander Melichar

Problems of Value At Risk - A Critical View

byAlexander Melichar

Kobo ebook | November 26, 2010

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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 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?

Title:Problems of Value At Risk - A Critical ViewFormat:Kobo ebookPublished:November 26, 2010Publisher:GRIN PublishingLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:3640761499

ISBN - 13:9783640761494

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