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An investigation into the methodologies of value-at-risk and a simulation process of a portfolio of financial instruments

Auteur : Gamal Abdel Hussein Ballam
Éditeur : 2004.
Dissertation : M. Sc. (Dept. of Statistics, Faculty of Natural Sciences) University of the Western Cape 2004
Édition/format :   Thèse/dissertation : Thèse/mémoire : Manuscrit   Document mixte : Anglais
Base de données :WorldCat
Résumé :
In recent years, value-at-risk has become a popular measure of market risk. It is widely used by financial institutions and non-financial corporates to control the market risk in a portfolio of financial instruments. The reason for this acquired interest could be traced to the advantages that value-at-risk holds over traditional risk measures. One of the objectives of this research was to provide the reader with  Lire la suite...
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Détails

Type d’ouvrage : Thèse/mémoire, Manuscrit
Format : Livre, Document mixte
Tous les auteurs / collaborateurs : Gamal Abdel Hussein Ballam
Numéro OCLC : 61460011
Description : xii, 192 leaves : illustrations ; 30 cm
Responsabilité : Gamal Abdel Hussein Ballam.

Résumé :

In recent years, value-at-risk has become a popular measure of market risk. It is widely used by financial institutions and non-financial corporates to control the market risk in a portfolio of financial instruments. The reason for this acquired interest could be traced to the advantages that value-at-risk holds over traditional risk measures. One of the objectives of this research was to provide the reader with some background on the relationship between value-at-risk and its counterparts while also discussing the advantages and disadvantages with respect to each other. The study also investigated the evolution of value-at-risk through the years.

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Critiques d’utilisateurs

Critiques des utilisateurs de WorldCat (1)

An excellent reference.

de Jalanie77 (Utilisateur de WorldCat. Publication 2012-11-09) Excellent Permalien

Value-at-risk is a relatively new concept. The author has been able to provide readers with an excellent overview of the evolution of VaR over the years and has also explained the relationship as well as advantages and disadvantages of VaR vis a vis other methodologies in a very simple, clear and...
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