Value at risk: a new methodology for measuring portfolio risk
Download full text from publisher
References listed on IDEAS
- Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters,in: Theory Of Valuation, chapter 8, pages 229-288 World Scientific Publishing Co. Pte. Ltd..
- Garman, Mark B. & Kohlhagen, Steven W., 1983. "Foreign currency option values," Journal of International Money and Finance, Elsevier, vol. 2(3), pages 231-237, December.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Cabedo Semper, J. David & Moya Clemente, Ismael, 2003. "Value at risk calculation through ARCH factor methodology: Proposal and comparative analysis," European Journal of Operational Research, Elsevier, vol. 150(3), pages 516-528, November.
- David Cabedo, J. & Moya, Ismael, 2003. "Estimating oil price 'Value at Risk' using the historical simulation approach," Energy Economics, Elsevier, vol. 25(3), pages 239-253, May.
- Mark R. Manfredo. & Raymond M. Leuthold, 1999. "Market Risk Measurement and the Cattle Feeding Margin: An Application of Value-at-Risk," Finance 9908002, EconWPA.
- Gregory P. Hopper, 1997. "What determines the exchange rate: economic factors or market sentiment?," Business Review, Federal Reserve Bank of Philadelphia, issue Sep, pages 17-29.
- Cornelis A Los, 2005.
"Why VaR FailsLong Memory and Extreme Events in Financial Markets,"
The IUP Journal of Financial Economics,
IUP Publications, vol. 0(3), pages 19-36, September.
- Cornelis A. Los, 2004. "Why VAR Fails: Long Memory and Extreme Events in Financial Markets," Finance 0412014, EconWPA.
- George S. Oldfield & Anthony M. Santomero, 1997. "The Place of Risk Management in Financial Institutions," Center for Financial Institutions Working Papers 95-05, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Mark R. Manfredo & Raymond M. Leuthold, 1998. "Agricultural Applications of Value-at-Risk Analysis: A Perspective," Finance 9805002, EconWPA.
More about this item
KeywordsBank capital ; Bank investments ; Risk;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fedpbr:y:1996:i:jul:p:19-31. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Beth Paul). General contact details of provider: http://edirc.repec.org/data/frbphus.html .
We have no references for this item. You can help adding them by using this form .