Please use this identifier to cite or link to this item:
Weron, Rafał
Year of Publication: 
Series/Report no.: 
Papers / Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE) 2004,32
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

Files in This Item:
662.76 kB

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.