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dc.contributor.authorSchröder, Michaelen
dc.date.accessioned2010-01-12T15:55:20Z-
dc.date.available2010-01-12T15:55:20Z-
dc.date.issued1996-
dc.identifier.urihttp://hdl.handle.net/10419/29469-
dc.description.abstractThe Value at Risk approach (VaR) is more and more used as a tool for risk measurement. The approach however has shortcomings both from a theoretical and a practical point of view. VaR can be classified within existing concepts of risk measurement: it is particularly interpretable as a special measure of shortfall risk. From that point of view VaR will be extended and improved. Eventually return distributions and shortfall measures are calculated for portfolios' including option strategies. Though VaR is held constant across the resulting return distributions quite different valuations of risk arise depending on the shortfall measure used for the comparison.en
dc.language.isoengen
dc.publisher|aZentrum für Europäische Wirtschaftsforschung (ZEW) |cMannheimen
dc.relation.ispartofseries|aZEW Discussion Papers |x96-12en
dc.subject.ddc330en
dc.subject.stwRisikoen
dc.subject.stwIndexen
dc.subject.stwBankrisikoen
dc.subject.stwTheorieen
dc.titleValue at risk: proposals on a generalization-
dc.type|aWorking Paperen
dc.identifier.ppn882538128en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:zewdip:9612en
dc.date.issuedonline2010en
dc.publisher.online|aZBW – Leibniz Information Centre for Economics |cKiel, Hamburgen
econstor.documentversionDigitized Versionen

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