Value-at-Risk: The Delta-normal Approach
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.
|Date of creation:||29 Sep 2005|
|Date of revision:|
|Note:||Type of Document - pdf; pages: 94. Draft version; comments welcome|
|Contact details of provider:|| Web page: http://econwpa.repec.org|
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