Leseprobe
TABLE OF CONTENT
I. INTRODUCTION: WHAT I AM GOING TO TALK ABOUT?
II. DEFINITION OF VALUE AT RISK
III. HOWTO CALCULATEVALUEATRISK-THECOMMON APPROACHES
III.1. Variance-Covariance model
III.2. Historical Simulation
III.3. Monte Carlo Simulation
IV. SUMMARY-PROBLEMS AND CRITICS
IV.l. Problems of Value at Risk
IV.2. Value at Risk: And beyond?
IV.3 Overview: Advantages and problems of the VaR calculations
V: FINALLY: WHICH WAY IS THE BEST?
LIST OF LITERATURE
LISTOFTABLES
LISTOF FIGURES
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- Alexander Melichar (Autor:in), 2009, Problems of Value At Risk - A Critical View, München, GRIN Verlag, https://www.grin.com/document/162499
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