Problems of Value At Risk - A Critical View

ISBN-13: 9783640761616 / Angielski / Miękka / 2010 / 36 str.

Alexander Melichar

Opis

Seminar paper from the year 2009 in the subject Business economics - Controlling, grade: 1,5, University of Innsbruck (Institut fur Banken und Finanzen), course: Seminar SBWL Risk Management, language: English, abstract: This seminar paper is divided in the following chapters: 1. Definition of Value at Risk: What is VaR, several definitions of this figure. 2. The three common approaches for calculating Value at Risk: Historical simulation, Monte Carlo simulation, Variance-Covariance model. 3. The critical view: Problems and limitations of Value at Risk. Which approach can be meaningfully used and when not? Why is Value at Risk not the -only truth- in financial institutions? What are the strengths and weaknesses of the several approaches in calculating Value at Risk?