A REMARK CONCERNING VALUE-AT-RISK

DOI10.1142/S0219024910005917zbMATH Open1233.91154OpenAlexW2031759511MaRDI QIDQ3580183FDOQ3580183

Authors: S. Yu. Novak 

Publication date: 11 August 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024910005917

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zbMATH Keywords

value-at-risk``factor 3 rule``square root of time ruleBasel committee

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Cites Work

• Generalized deviations in risk analysis
• Regularly varying functions
• Rescaled variance and related tests for long memory in volatility and levels
• SLOW VARIATION WITH REMAINDER: THEORY AND APPLICATIONS
• Products of trees for investment analysis
• Modelling of extremal events in insurance and finance
• Evaluating currency risk in emerging markets

Cited In (7)

• Title not available (Why is that?)
• Pro‐cyclicality beyond business cycle
• Value at risk and self-similarity
• A NOTE ON RISKY BOND VALUATION
• VaR methodology for non-Gaussian finance
• Value-at-risk forecasts under scrutiny—the German experience
• VaR modelling on long run horizons

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