Arbeitspapier
Computationally intensive Value at Risk calculations
Market risks are the prospect of financial losses- or gains- due to unexpected changes in market prices and rates. Evaluating the exposure to such risks is nowadays of primary concern to risk managers in financial and non-financial institutions alike. Until late 1980s market risks were estimated through gap and duration analysis (interest rates), portfolio theory (securities), sensitivity analysis (derivatives) or "what-if" scenarios. However, all these methods either could be applied only to very specific assets or relied on subjective reasoning.
- Language
-
Englisch
- Bibliographic citation
-
Series: Papers ; No. 2004,32
- Classification
-
Wirtschaft
- Event
-
Geistige Schöpfung
- (who)
-
Weron, Rafał
- Event
-
Veröffentlichung
- (who)
-
Humboldt-Universität zu Berlin, Center for Applied Statistics and Economics (CASE)
- (where)
-
Berlin
- (when)
-
2004
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Weron, Rafał
- Humboldt-Universität zu Berlin, Center for Applied Statistics and Economics (CASE)
Time of origin
- 2004
Other Objects (12)
Value-at-risk calculations with time varying copulae
Value-at-Risk Calculations with Time Varying Copulae
Corporate risk management : cashflow at risk und value at risk
Parametrische Modelle zur Ermittlung des Value-at-Risk : Parametric Value-at-Risk Models
ZP-Stichwort: value at risk
Value at risk im Vermögensverwaltungsgeschäft
On double value at risk
Bankmanagement mit Value at Risk
Value at Risk und Cash Flow at Risk in Unternehmen
Value at risk, bank equity and credit risk
Banking regulation with value-at-risk
Value-at-risk-Konzepte für Marktrisiken
Value-at-risk calculations with time varying copulae
Value-at-Risk Calculations with Time Varying Copulae
Corporate risk management : cashflow at risk und value at risk
Parametrische Modelle zur Ermittlung des Value-at-Risk : Parametric Value-at-Risk Models
ZP-Stichwort: value at risk
Value at risk im Vermögensverwaltungsgeschäft
On double value at risk
Bankmanagement mit Value at Risk
Value at Risk und Cash Flow at Risk in Unternehmen
Value at risk, bank equity and credit risk
Banking regulation with value-at-risk
Value-at-risk-Konzepte für Marktrisiken
Value-at-risk calculations with time varying copulae
Value-at-Risk Calculations with Time Varying Copulae
Corporate risk management : cashflow at risk und value at risk
Parametrische Modelle zur Ermittlung des Value-at-Risk : Parametric Value-at-Risk Models
ZP-Stichwort: value at risk
Value at risk im Vermögensverwaltungsgeschäft
On double value at risk
Bankmanagement mit Value at Risk
Value at Risk und Cash Flow at Risk in Unternehmen
Value at risk, bank equity and credit risk
Banking regulation with value-at-risk