@techreport{Weron2004Computationally,
abstract = {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.},
author = {Rafa\l{} Weron},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {330},
language = {eng},
number = {2004,32},
title = {Computationally intensive Value at Risk calculations},
type = {Papers / Humboldt-Universit\"{a}t Berlin, Center for Applied Statistics and Economics (CASE)},
url = {http://hdl.handle.net/10419/22205},
year = {2004}
}
