Value-at-Risk: The Delta-normal Approach
AbstractThis book presents a simple model (the simplest?) for the computation of the value-at-risk: the delta-normal approach. It doesn't explain the shortcomings and advantages of the method nor compares it with other models. Even on this single topic, by no way it pretends to be complete or in the forefront.
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Bibliographic InfoPaper provided by EconWPA in its series Risk and Insurance with number 0509001.
Length: 94 pages
Date of creation: 29 Sep 2005
Date of revision:
Note: Type of Document - pdf; pages: 94. Draft version; comments welcome
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value-at-risk; delta normal approach;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-10-04 (All new papers)
- NEP-FMK-2005-10-04 (Financial Markets)
- NEP-RMG-2005-10-04 (Risk Management)
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- Marc Henrard, 2003. "Currency basket as asset or base currency in value-at-risk computation," Risk and Insurance 0310003, EconWPA, revised 12 Oct 2003.
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