RISK MANAGEMENT - Measuring Downside Portfolio Risk - Value at risk (VaR) is an approach used in risk management to measure downside risk. Not all VaRs, however, are created equal. Defining and accurately measuring market risk is a considerable task. VaR, estimates depend on a number of inputs, including assumptions, data parameters, and methodology. Accordingly, comprehending the optimal use of ...
| Year of publication: |
1999
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|---|---|
| Authors: | Johansson, Frederik ; Seiler, Michael J. ; Tjarnberg, Mikael |
| Published in: |
The journal of portfolio management : a publication of Institutional Investor. - New York, NY : Institutional Investor, ISSN 0095-4918, ZDB-ID 1971451. - Vol. 26.1999, 1, p. 96
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