Computationally intensive Value at Risk calculations

Rafał Weron ()

No 2004,32, Papers from Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE)

Abstract: 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. --

Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (11) Track citations by RSS feed

Downloads: (external link)
http://econstor.eu/bitstream/10419/22205/1/32_rw.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:zbw:caseps:200432

Access Statistics for this paper

More papers in Papers from Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE)
Contact information at EDIRC.
Series data maintained by ZBW - German National Library of Economics ().