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http://hdl.handle.net/10419/22205
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| Title: | | Computationally intensive Value at Risk calculations  |
| Authors: | | Weron, Rafał |
| Issue Date: | | 2004 |
| Series/Report no.: | | Papers / Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE) 2004,32 |
| 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. |
| Document Type: | | Working Paper |
| Appears in Collections: | | Papers, CASE - Center for Applied Statistics and Economics, HU Berlin
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