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Titel:

VaR and Risk Measures

Dokumenttyp:
Buchbeitrag
Autor(en):
Schmitt, C.; Zagst, R.
Kooperation:
-
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
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