Problems of Value At Risk - A Critical View

Business & Finance, Accounting, Financial
Cover of the book Problems of Value At Risk - A Critical View by Alexander Melichar, GRIN Publishing
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Author: Alexander Melichar ISBN: 9783640761494
Publisher: GRIN Publishing Publication: November 26, 2010
Imprint: GRIN Publishing Language: English
Author: Alexander Melichar
ISBN: 9783640761494
Publisher: GRIN Publishing
Publication: November 26, 2010
Imprint: GRIN Publishing
Language: English

Seminar paper from the year 2009 in the subject Business economics - Controlling, grade: 1,5, University of Innsbruck (Institut für Banken und Finanzen), course: Seminar SBWL Risk Management, language: English, abstract: This seminar paper is divided in the following chapters: 1. Definition of Value at Risk: What is VaR, several definitions of this figure. 2. The three common approaches for calculating Value at Risk: Historical simulation, Monte Carlo simulation, Variance-Covariance model. 3. The critical view: Problems and limitations of Value at Risk. Which approach can be meaningfully used and when not? Why is Value at Risk not the 'only truth' in financial institutions? What are the strengths and weaknesses of the several approaches in calculating Value at Risk?

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Seminar paper from the year 2009 in the subject Business economics - Controlling, grade: 1,5, University of Innsbruck (Institut für Banken und Finanzen), course: Seminar SBWL Risk Management, language: English, abstract: This seminar paper is divided in the following chapters: 1. Definition of Value at Risk: What is VaR, several definitions of this figure. 2. The three common approaches for calculating Value at Risk: Historical simulation, Monte Carlo simulation, Variance-Covariance model. 3. The critical view: Problems and limitations of Value at Risk. Which approach can be meaningfully used and when not? Why is Value at Risk not the 'only truth' in financial institutions? What are the strengths and weaknesses of the several approaches in calculating Value at Risk?

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