Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/29469
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dc.contributor.authorSchröder, Michaelen_US
dc.date.accessioned2010-01-12T15:55:20Z-
dc.date.available2010-01-12T15:55:20Z-
dc.date.issued1996en_US
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_US
dc.language.isoengen_US
dc.publisher|aZentrum für Europäische Wirtschaftsforschung (ZEW) |cMannheimen_US
dc.relation.ispartofseries|aZEW Discussion Papers |x96-12en_US
dc.subject.ddc330en_US
dc.subject.stwRisikoen_US
dc.subject.stwIndexen_US
dc.subject.stwBankrisikoen_US
dc.subject.stwTheorieen_US
dc.titleValue at risk: proposals on a generalizationen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn257728074en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:zewdip:9612-

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