haku: @indexterm Derivative securities / yhteensä: 88
viite: 86 / 88
| Tekijä: | Stambaugh, F. |
| Otsikko: | Risk and Value at Risk |
| Lehti: | European Management Journal
1996 : VOL. 14:6, p. 612-621 |
| Asiasana: | FINANCE RISK ANALYSIS CAPITAL MARKETS DERIVATIVE SECURITIES |
| Kieli: | eng |
| Tiivistelmä: | Increasingly complicated tools known as financial derivatives have been introduced in recent times to manage the market risk arising from floating exchange rates. The rapid development of the derivatives markets has in turn introduced new risks into the business of finance - witness the highly-publicised trading losses at Metallgesell-schaft and Procter and Gamble. A principal method for measuring and reporting market risk in the portfolios of banks and their clients is 'value at risk' (VaR). Fred Stambaugh explains the concept of 'value at risk' and describes three principal approaches to calculating it - correlation matrix, historical simulation and Monte Carlo simulation; they are alternatives, not competitors.Techniques for portfolio stress testing are discussed. |
SCIMA