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https://hdl.handle.net/10419/22205
Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Weron, Rafał | en |
dc.date.accessioned | 2009-01-29T14:54:23Z | - |
dc.date.available | 2009-01-29T14:54:23Z | - |
dc.date.issued | 2004 | - |
dc.identifier.uri | http://hdl.handle.net/10419/22205 | - |
dc.description.abstract | Market risks are the prospect of financial losses- or gains- due to unexpected changes in market prices and rates. Evaluating the exposure to such risks is nowadays of primary concern to risk managers in financial and non-financial institutions alike. Until late 1980s market risks were estimated through gap and duration analysis (interest rates), portfolio theory (securities), sensitivity analysis (derivatives) or "what-if" scenarios. However, all these methods either could be applied only to very specific assets or relied on subjective reasoning. | en |
dc.language.iso | eng | en |
dc.publisher | |aHumboldt-Universität zu Berlin, Center for Applied Statistics and Economics (CASE) |cBerlin | en |
dc.relation.ispartofseries | |aPapers |x2004,32 | en |
dc.subject.ddc | 330 | en |
dc.title | Computationally intensive Value at Risk calculations | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 495308528 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:caseps:200432 | en |
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