A Var Model of an Investment Cycle

Thomas Ho

North American Actuarial Journal, 1999, vol. 3, issue 2, 57-65

Abstract: This paper extends the vast body of research literature on financial modeling to business control. Though important to business management, this area is often ignored by the field of financial research. The author also recommends that VaR not be confined to merely assessing the risk of a single portfolio or a trading floor, but be applied to an entire investment cycle for the purposes of risk management.

Date: 1999
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DOI: 10.1080/10920277.1999.10595800

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