Problems of Value At Risk - A - Melichar - Bøker - GRIN Verlag - 9783640761616 - 30. november 2010
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Melichar
Problems of Value At Risk - A

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Seminar paper from the year 2009 in the subject Business economics - Controlling, grade: 1,5, University of Innsbruck (Institut für Banken und Finanzen), course: Seminar SBWL Risk Management, language: English, abstract: This seminar paper is divided in the following chapters: 1. Definition of Value at Risk: What is VaR, several definitions of this figure. 2. The three common approaches for calculating Value at Risk: Historical simulation, Monte Carlo simulation, Variance-Covariance model. 3. The critical view: Problems and limitations of Value at Risk. Which approach can be meaningfully used and when not? Why is Value at Risk not the "only truth" in financial institutions? What are the strengths and weaknesses of the several approaches in calculating Value at Risk?

Media Bøker     Bok
Utgitt 30. november 2010
ISBN13 9783640761616
Utgivere GRIN Verlag
Antall sider 36
Mål 138 × 20 × 213 mm   ·   250 g   (Estimert vekt)
Språk Tysk  

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