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PRODUCT VaR MODELLING

In: The Risk Of Investment Products From Product Innovation to Risk Compliance

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  • Rituparna Das

Abstract

The following sections are included:DEFINITION AND CLASSIFICATION OF INVESTMENT PRODUCTSVALUATION OF INVESTMENT PRODUCTSSENSITIVITY ANALYSISPROBLEM OF AGGREGATION AND EMERGENCE OF VALUE-AT-RISKDEFINITION AND MEASURE OF VaRNEED FOR EXTREME TAIL LOSSES (ETL)REFERENCES

Suggested Citation

  • Rituparna Das, 2011. "PRODUCT VaR MODELLING," World Scientific Book Chapters, in: Michael CS Wong (ed.), The Risk Of Investment Products From Product Innovation to Risk Compliance, chapter 2, pages 17-39, World Scientific Publishing Co. Pte. Ltd..
  • Handle: RePEc:wsi:wschap:9789814354998_0002
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