Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/22205 
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dc.contributor.authorWeron, Rafałen
dc.date.accessioned2009-01-29T14:54:23Z-
dc.date.available2009-01-29T14:54:23Z-
dc.date.issued2004-
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
dc.language.isoengen
dc.publisher|aHumboldt-Universität zu Berlin, Center for Applied Statistics and Economics (CASE) |cBerlinen
dc.relation.ispartofseries|aPapers |x2004,32en
dc.subject.ddc330en
dc.titleComputationally intensive Value at Risk calculations-
dc.typeWorking Paperen
dc.identifier.ppn495308528en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:caseps:200432en

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