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Value-at-Risk: The Delta-normal Approach

Marc Henrard ()

Risk and Insurance from EconWPA

Abstract: This book presents a simple model (the simplest?) for the computation of the value-at-risk: the delta-normal approach. It doesn't explain the shortcomings and advantages of the method nor compares it with other models. Even on this single topic, by no way it pretends to be complete or in the forefront.

Keywords: value-at-risk; delta normal approach (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fmk and nep-rmg
Date: 2005-09-29
Note: Type of Document - pdf; pages: 94. Draft version; comments welcome
References: View complete reference list from CitEc
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