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Value-at-Risk: The Delta-normal Approach

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  • Marc Henrard

    (Bank for International Settlements)

Abstract

This 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.

Suggested Citation

  • Marc Henrard, 2005. "Value-at-Risk: The Delta-normal Approach," Risk and Insurance 0509001, EconWPA.
  • Handle: RePEc:wpa:wuwpri:0509001 Note: Type of Document - pdf; pages: 94. Draft version; comments welcome
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    File URL: http://econwpa.repec.org/eps/ri/papers/0509/0509001.pdf
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    Cited by:

    1. 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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    Keywords

    value-at-risk; delta normal approach;

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