English, Article, Journal or magazine article edition: Risk measurement: an introduction to value at risk Thomas J. LINSMEIER; Neil D. PEARSON

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/142517
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Risk measurement: an introduction to value at risk
Author
  • Thomas J. LINSMEIER
  • Neil D. PEARSON
Physical Description
  • preprint
Notes
  • subliminal extant Smith economagic gmm value at risk, market risk, simulation
  • RePEc:wpa:wuwpfi:9609004
  • This paper is a self-contained introduction to the concept and methodology of "value at risk," which is a new tool for measuring an entity's exposure to market risk. We explain the concept of value at risk, and then describe in detail the three methods for computing it: historical simulation; the variance-covariance method; and Monte Carlo or stochastic simulation. We then discuss the advantages and disadvantages of the three methods for computing value at risk. Finally, we briefly describe some alternative measures of market risk.
  • RePEc:wop:ilucae:9604
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment