PRODUCT VaR MODELLING

Rituparna Das

Chapter 2 in The Risk of Investment Products:From Product Innovation to Risk Compliance, 2011, pp 17-39 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:DEFINITION AND CLASSIFICATION OF INVESTMENT PRODUCTSVALUATION OF INVESTMENT PRODUCTSSENSITIVITY ANALYSISPROBLEM OF AGGREGATION AND EMERGENCE OF VALUE-AT-RISKDEFINITION AND MEASURE OF VaRNEED FOR EXTREME TAIL LOSSES (ETL)REFERENCES

Keywords: Risk Management; Financial Regulation; Financial Law; Asset Securitization; Complex Investment Products; Investment Advisory (search for similar items in EconPapers)
Date: 2011
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