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History of Value-at-Risk: 1922-1998

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Author Info
Glyn A. Holton
Abstract

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File URL: http://129.3.20.41/eps/mhet/papers/0207/0207001.pdf
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Publisher Info
Paper provided by EconWPA in its series Method and Hist of Econ Thought with number 0207001.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 27 pages
Date of creation: 08 Aug 2002
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Handle: RePEc:wpa:wuwpmh:0207001

Note: Type of Document - PDF format; prepared on IBM - PC; pages: 27 ; figures: Included. This working paper has been posted to solicit comments from regulators and practitioners who may have used early VaR measures.
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Related research
Keywords: value-at-risk history;

Find related papers by JEL classification:
B29 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Other

This paper has been announced in the following NEP Reports:

References listed on IDEAS
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  1. James Tobin, 1956. "Liquidity Preference as Behavior Towards Risk," Cowles Foundation Discussion Papers 14, Cowles Foundation, Yale University. [Downloadable!]
  2. Dimson, Elroy & Marsh, Paul, 1995. " Capital Requirements for Securities Firms," Journal of Finance, American Finance Association, vol. 50(3), pages 821-51, July. [Downloadable!] (restricted)
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This page was last updated on 2009-12-15.

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