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Evaluation of Value at Risk Models: The New Science of Market Risk Management
Company: Lambert Academic Publishing
Year Of Publication: 2013
Month Of Publication: November
Resource Link: Click here to open
Pages: 140
Download Count: 0
View Count: 1985
Comment Num: 0
Language: English
Source: book
Who Can Read: Free
Date: 11-3-2013
Publisher: Administrator
The main objective of this book is to survey the most popular univariate VaR methodologies, paying particular attention to their underlying assumptions. The great popularity that this instrument has achieved is essentially due to its conceptual simplicity: VaR reduces the (market) risk associated with any portfolio to just one number, the loss associated to a given probability.
Naidu, P.A. Sign in to follow this author
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