This paper is a self-contained introduction to the concept and methodology of "value at risk," which is a new tool for … measuring an entity's exposure to market risk. We explain the concept of value at risk, and then describe in detail the three … then discuss the advantages and disadvantages of the three methods for computing value at risk. Finally, we briefly …

.5 Auswertung der Gesamtschadenverteilung 2.6 Quantilbestimmung und Value at Risk 3 Operationelles Risiko 3.1 Basel II und … (2004, 126 ff.). 17 2.6 Quantilbestimmung und Value at Risk In vielen Anwendungen des Risikomanagements, insbesondere … vorgegebene Konfidenzniveaus 0 < α < 1 (klein), denn diese ent- sprechen dem Value at Risk der Gesamtschadenverteilung zum …

El concepto de Value at Risk (valor del riesgo) se ha popularizado hace ya casi una década. Este artículo describe el … discute la metodología de ajuste del Value at Risk en un escenario de iliquidez de los activos que conforman un portafolio …