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Bivariate Value-at-Risk
Company: Statistica
Year Of Publication: 2002
Month Of Publication: March
Pages: 231-247
Download Count: 6
View Count: 1426
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 7-1-2010
Publisher: Administrator
Summary
In this paper we claim that it is possible to extend the idea of VaR to “market
risk” evaluation and portfolio management giving the right consideration to
downside risk exposure. In the next section we will consider a
general definition of market risk of an asset based on definition (1) that admits
the traditional "beta" measure as a particular case when returns are normal. The data
used and the results are presented in section 3. Section 4 contains some conclusions
and directions for further studies in the field.
(volume 62, number
Author(s)
Arbia, Giuseppe Sign in to follow this author
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