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.

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Year of publication:	2005-09-29
Authors:	Henrard, Marc
Institutions:	EconWPA
Subject:	value-at-risk \| delta normal approach

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Extent:	application/pdf
Series:	Risk and Insurance.
Type of publication:	Book / Working Paper
Notes:	Type of Document - pdf; pages: 94. Draft version; comments welcome 94 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005561055