Properties of VaR

Martin Auer
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Martin Auer: Raiffeisen Bank International

Chapter 12 in Hands-On Value-at-Risk and Expected Shortfall, 2018, pp 61-64 from Springer

Abstract: Abstract The VaR is an altogether relatively intuitive abbreviation of the two-dimensional concept of risk, but one characteristic in particular might not be self-evident at first sight.

Keywords: Combined Position; Combined Standard Deviation; Benign World; Encounter Positions; Original Sensitivity (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/978-3-319-72320-4_12

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