Browsing Books by Subject "Value at Risk"

Now showing items 1-2 of 2

  • A Probabilistic Approach to Worst Case Scenarios 

    Barone-Adesi, Giovanni; Bourgoin, Frederick; Giannopoulos, Kostas (1997)
    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) 

    Barone-Adesi, Giovanni; Giannopoulos, Kostas (1997)
    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 ...