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dc.contributor.authorWeron, Rafałen_US
dc.date.accessioned2009-01-29T14:54:23Z-
dc.date.available2009-01-29T14:54:23Z-
dc.date.issued2004en_US
dc.identifier.urihttp://hdl.handle.net/10419/22205-
dc.description.abstractMarket 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.en_US
dc.language.isoengen_US
dc.relation.ispartofseriesPapers / Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE) 2004,32en_US
dc.subject.ddc330en_US
dc.titleComputationally intensive Value at Risk calculationsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn495308528en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:caseps:200432-
Appears in Collections:Papers, CASE - Center for Applied Statistics and Economics, HU Berlin

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