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Problems of Value At Risk - A Critical View

Problems of Value At Risk - A Critical View

Paperback

AccountingManagement

ISBN10: 3640761618
ISBN13: 9783640761616
Publisher: Grin Verlag
Published: Nov 30 2010
Pages: 20
Weight: 0.09
Height: 0.05 Width: 5.83 Depth: 8.27
Language: English
Seminar paper from the year 2009 in the subject Business economics - Controlling, grade: 1,5, University of Innsbruck (Institut für Banken und Finanzen), course: Seminar SBWL Risk Management, language: English, abstract: This seminar paper is divided in the following chapters: 1. Definition of Value at Risk: What is VaR, several definitions of this figure. 2. The three common approaches for calculating Value at Risk: Historical simulation, Monte Carlo simulation, Variance-Covariance model. 3. The critical view: Problems and limitations of Value at Risk. Which approach can be meaningfully used and when not? Why is Value at Risk not the only truth in financial institutions? What are the strengths and weaknesses of the several approaches in calculating Value at Risk?

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