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

저자: Gamal Abdel Hussein Ballam
출판사: 2004.
논문: M. Sc. (Dept. of Statistics, Faculty of Natural Sciences) University of the Western Cape 2004
판/형식:   주제/주장 : 눈문/학위논문 : 필사본   아카이브 자료 : 영어
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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  더 읽기…
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자료 유형: 눈문/학위논문, 필사본
문서 형식: 책, 아카이브 자료
모든 저자 / 참여자: Gamal Abdel Hussein Ballam
OCLC 번호: 61460011
설명: xii, 192 leaves : illustrations ; 30 cm
책임: Gamal Abdel Hussein Ballam.

초록:

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 (WorldCat 사용자가 게시함 2012-11-09) 매우만족 퍼머링크

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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