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Dokumenttyp:
Buchbeitrag 
Autor(en):
Schmitt, C.; Zagst, R. 
Kooperation:
Titel:
VaR and Risk Measures 
Abstract:
In this article, we present different ways of measuring and quantifying risk. We discuss the theoretical background of several risk measures and illustrate their potentials and limitations. Giving a historical overview, we start with the Variance and Lower Partial Moments and present the concepts of Shortfall Probability and Expected Shortfall. The main focus of this article is the Value at Risk, one of the most important risk measures in the financial services industry. We analyze different cal...    »
 
Seitenangaben Beitrag:
1823-1830 
Herausgeber:
Melnick, E.; Everitt, B. 
Buchtitel:
Encyclopedia of Quantitative Risk Assessment and Analysis 
Intellectual Contribution:
Contribution to Practice 
Verlag / Institution:
John Wiley, Chichester, UK 
Jahr:
2008 
Sprache:
en 
Key publication:
Nein 
Peer reviewed:
ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Kategorie:
textbook