Website name--Documents--Dynamic Value-at-Risk

Dynamic Value-at-Risk

Company: University of St. Gallen

Year Of Publication: 2002

Month Of Publication: November

Pages: 20

Download Count: 29818

View Count: 57275

Comment Num: 0

Language: EN

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Who Can Read: Free

Date: 6-22-2003

Publisher: Administrator

Summary

The purpose of this study is to describe dynamic Value-at-Risk and to estimated the advantages and disadvantages of using it in portfolio management.

Author(s)

Rogachev, Andrey

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dynamic　optimization　
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VaR Methods——Evaluation/Comparison

Documents cited in this work:

An Empirical Evaluation of Value at Risk by Scenario Simulation

An Overview of Value-at-Risk

Beyond Value at Risk: The New Science of Risk Management

Coherent Measures of Risk

Conditional Value at Risk: Aspects of Modeling and Estimation

Evaluating Value at Risk Methodologies: accurace versus computational time

Evaluation of Value-at-Risk Models Using Historical Data

Going Greek With VaR

Monte Carlo Within a Day

Optimization of Conditional Value at Risk

Plugging the Gap

Risk Management

Scenario Simulation:Theory and Methodology

Value at Risk im Vermagensverwaltungsgeschaft

Value at Risk Using Hyperbolic Distributions

Value at Risk: The New Benchmark for Controlling Market Risk

Value-at-Risk for Nonlinear Financial Instruments - Linear Approximation or Full Monte Carlo?

Value-at-Risk: A Multivariate Switching Regime Approach

Value-at-Risk-Limite zur Steuerung des Marktrisikos im Handelsbereich der Banken

Documents that cite this work:

On the Validity of Risk Measures over Time: Value-at-Risk Conditional Tail Expectations and the Bodi

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