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Value at Risk: Regulatory and Other Applications, Methods and Criticism
Company: Risk Management (Part I)
Year Of Publication: 2005
Month Of Publication: December
Resource Link: Click here to open
Pages: 99-124
Download Count: 47
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Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 4-6-2007
Publisher: Administrator
Summary
This article surveys several applicational as well as theoretical aspects of Value at Risk as a measure of risk. First, we compare different calculation methods with respect to accuracy, implementational issues as well as suitability for resource allocation and optimization. We contribute to capital allocation based on Value at Risk and provide an optimization model. Afterwards, we concentrate on shortcomings of Value at Risk as a measure of risk from a theoretical point of view. The focus is on the relation to decision theory and to coherent measures of risk. Alternatives to Value at Risk such as the lower partial moment one or the tail conditional expectation are included. We give some reasons to prefer the latter as a measure of risk.
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Author(s)
Knobloch, Alois P. Sign in to follow this author
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