Value at Risk Models

David L. Olson and Desheng Wu
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David L. Olson: University of Nebraska
Desheng Wu: University of Chinese Academy of Sciences

Chapter 6 in Enterprise Risk Management Models, 2023, pp 75-87 from Springer

Abstract: Abstarct Financial risk management has been analyzed using the value at risk methodology. The method is described, evolving from variance-covariance analysis. Monte Carlo simulation is applied to demonstrate calculations with Crystal Ball software.

Date: 2023
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DOI: 10.1007/978-3-662-68038-4_6

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