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

Autor: Gamal Abdel Hussein Ballam
Editora: 2004.
Dissertação: M. Sc. (Dept. of Statistics, Faculty of Natural Sciences) University of the Western Cape 2004
Edição/Formato   Tese/dissertação : Tese/dissertação : Manuscrito   Material de Arquivo : Inglês
Base de Dados:WorldCat
Resumo:
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  Ler mais...
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Detalhes

Tipo de Material: Tese/dissertação, Manuscrito
Tipo de Documento: Livro, Material de Arquivo
Todos os Autores / Contribuintes: Gamal Abdel Hussein Ballam
Número OCLC: 61460011
Descrição: xii, 192 leaves : illustrations ; 30 cm
Responsabilidade: Gamal Abdel Hussein Ballam.

Resumo:

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.

por Jalanie77 (Usuário WorldCat publicado 2012-11-09) Excelente Permalink

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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