Search Results - subject:"component VaR"

Impact of Foreign Exchange Risk on International Portfolios

Stancu, Andrei Tudor - In: Romanian Economic Journal 13 (2010) 37, pp. 179-203

The purpose of this article is to illustrate the impact of foreign exchange risk on international investments such as well diversified portfolios of assets. The centre part of this study is the Value at Risk (VaR) model, computed with the variance-covariance approach and assuming non-normality...

Persistent link: https://www.econbiz.de/10008677187

Decomposing Portfolio Value-at-Risk: A General Analysis

Hallerbach, Winfried G. - Tinbergen Institute - 1999

marginal VaR, component VaR and incremental VaR in either a non-normal analytical setting or a Monte Carlo / historical …, component VaR and incremental VaR readily follow. The proposed estimation approach pairs intuitive appeal with computational …

Persistent link: https://www.econbiz.de/10005144576

Decomposing portfolio value-at-risk : a general analysis

Hallerbach, Winfried G. - 1999 - This rev.: May 10, 1999

interest in the literature, there exist to the best of our knowledge no procedures for estimatingmarginal VaR, component VaR … marginal VaRs in a simulation framework. Given the marginal VaR estimate,component VaR and incremental VaR readily follow. The …

Persistent link: https://www.econbiz.de/10011301159

Decomposing Portfolio Value-at-Risk: A General Analysis

Hallerbach, Winfried G. - 1999

Persistent link: https://www.econbiz.de/10010324653

Decomposing Portfolio Value-at-Risk: A General Analysis

Hallerbach, Winfried G. - Tinbergen Instituut - 1999

Persistent link: https://www.econbiz.de/10011256282