haku: @indexterm Value-at-risk / yhteensä: 37
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| Tekijä: | Hallerbach, W. G. Menkveld, A. J. |
| Otsikko: | Analysing perceived downside risk: the component value-at-risk framework |
| Lehti: | European Financial Management
2004 : DEC, VOL. 10:4, p. 567-591 |
| Asiasana: | Risk Risk management Value-at-risk |
| Vapaa asiasana: | Factor models |
| Kieli: | eng |
| Tiivistelmä: | Despite increasing disclosure requirements, a company's net risk profile may not be transparent to shareholders. A "Component value-at-risk (VaR)" framework is developed for companies to identify the multidimensional downside risk profile as perceived by shareholders. The framework allows for decomposing downside risk into components that are attributable to each of the underlying risk factors. |
SCIMA