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A Probabilistic Approach to Worst Case Scenarios
Value at Risk (VaR) is increasingly popular as a management and regulatory tool. To further its acceptance it is necessary to assess its reliability under conditions likely to be encountered in financial markets. A logical ...
A Simplified Approach to the Conditional Estimation of Value at Risk (VAR)
Emerging risk-management techniques use Value at Risk (VAR) to assess the market risk of a portfolio. We propose a relative simple method to estimate VAR conditionallyto reflect new information about the volatility of ...