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Rogachev, Andrey’ AUTHOR PAGE
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Affiliation: F.Hoffmann - La Roche
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Methodological Issues and Some Illustrations of Applying Dynamic Value-at-Risk Model in Portfolio Management 2007
Rogachev, Andrey
This paper develops Value-at-Risk calculation for portfolio with some assets. Our starting point is using dynamic adaptation rules to portfolio develo...
Value-at-Risk Concept by Swiss Private Banks 2007
Rogachev, Andrey
From the banks' perspectives, VaR has both positive and negative points. It is like a common denominator for various risks. The reason is that VaR...
Dynamic Strategy of Portfolio Value-at-Risk Estimation 2004
Rogachev, Andrey
Value-at-Risk is a highly accepted risk measurement tool by the finance industry. The main objective of portfolio management is optimization of asset ...
Methods of Value at Risk Calculation in Banking 2005
Rogachev, Andrey
Value-at-Risk has become a broad and commonly used methodology to measure market risks in the financial world. Nevertheless this risk estimation techn...
Value at Risk-Berechnungen im Vermögensmanagement einer Schweizer Privatbank 2003
Rogachev, Andrey
Die Schweizer Privatbank Wegelin & Co. bietet ihren Anlageberatern und Kunden Value at Risk-Reports, die Hinweise auf das Risikoprofil der in den Port...
Dynamic Value-at-Risk 2002
Rogachev, Andrey
The purpose of this study is to describe dynamic Value-at-Risk and to estimated the advantages and disadvantages of using it in portfolio management. ...
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