haku: @indexterm METHODOLOGY / yhteensä: 1003
viite: 306 / 1003
| Tekijä: | Linsmeier, T.J. Pearson, N.D. |
| Otsikko: | Value at risk |
| Lehti: | Financial Analysts' Journal
2000 : MAR/APR, VOL. 56:2, p. 47-67 |
| Asiasana: | Risk Financial analysis Methodology Monte Carlo technique Simulation USA |
| Kieli: | eng |
| Tiivistelmä: | This article provides introduction to the concept and methodology of value-at-risk, recently developed tool for measuring an entity's exposure to market risk. It explains the concept of VAR and describes in detail the 3 methods for computing it, i.e. historical simulation, the delta-normal method and the Monte Carlo simulation. It also discusses the advantages and disadvantages of the 3 methods for computing VAR, and it describes stress testing and 2 alternative measures of market risk. |
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