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Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/22205
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Weron, Rafał | | en_US |
| dc.date.accessioned | | 2009-01-29T14:54:23Z | | - |
| dc.date.available | | 2009-01-29T14:54:23Z | | - |
| dc.date.issued | | 2004 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/22205 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.relation.ispartofseries | | Papers / Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE) 2004,32 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.title | | Computationally intensive Value at Risk calculations | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 495308528 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| dc.identifier.repec | | RePEc:zbw:caseps:200432 | | - |
| Appears in Collections: | | Papers, CASE - Center for Applied Statistics and Economics, HU Berlin
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