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

著者: Gamal Abdel Hussein Ballam
出版: 2004.
論文: M. Sc. (Dept. of Statistics, Faculty of Natural Sciences) University of the Western Cape 2004
エディション/フォーマット:   学位論文/卒業論文 : Thesis/dissertation : Manuscript   アーカイブ資料 : English
データベース:WorldCat
概要:
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  続きを読む
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資料の種類: Thesis/dissertation, Manuscript
ドキュメントの種類: 図書, アーカイブ資料
すべての著者/寄与者: Gamal Abdel Hussein Ballam
OCLC No.: 61460011
物理形態: xii, 192 leaves : illustrations ; 30 cm
責任者: Gamal Abdel Hussein Ballam.

概要:

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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An excellent reference.

by Jalanie77 (投稿: 2012-11-09) 素晴らしい パーマリンク

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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