Publication details

Value at Risk method: tool for estimation of investment products risk



Year of publication 2007
Type Article in Proceedings
Conference Integračný proces a jeho vplyv na verejné a podnikateľské financie
MU Faculty or unit

Faculty of Economics and Administration

Field Economy
Keywords Value at Risk volatility risks retail derivatives Derivate Forum
Description Value at Risk method is considered to be new a scientific way of managing risk. In this article there is described usage of this method for risk estimation related to investment products. There is also described traditional method of risk estimation based on volatility and summarized main advantages and disadvantages of both methods. At the end there is applied Value at Risk method in retail derivatives and they are classified in particular categories according to Derivate-Forum recommendation.

You are running an old browser version. We recommend updating your browser to its latest version.

More info