COMPARISON OF VALUE AT RISK APPROACHES ON A STOCK PORTFOLIO
Value at risk is risk management tool for measuring and controlling market risks. Through this paper reader will get to know what value at risk is, how it can be calculated, what are the main characteristics, advantages and disadvantages of value at risk. Author compares the main approaches of calcu...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Croatian Operational Research Society
2011-02-01
|
| Series: | Croatian Operational Research Review |
| Subjects: | |
| Online Access: | http://hrcak.srce.hr/index.php?show=clanak&id_clanak_jezik=142176 |