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VALUE
AT
RISK
C A L C U L A T I N G V A L U E A T R I S K
CONTENTS
CALCULATING
VALUE
AT
RISK
.......................................................................................................................
4
1.
INTRODUCTION
..................................................................................................................................
4
2.
VAR
METHODS
..................................................................................................................................
5
a.
b.
c.
d.
e.
3.
Please
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without
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C A L C U L A T I N G V A L U E A T R I S K
B IBLIOGRAPHY
1. Understanding
Market,
Credit
and
Operational
Risk-
The
Value
at
Risk
Approach,
Linda
Allen,
Jacob
Boudoukh
and
Anthony
Saunders,Blackwell
Publishing,
2004
2. Beyond
Value
at
Risk,
The
New
Science
of
Risk
Management,
Kevin
Dowd,
John
Wiley
&
Sons,
1998
3. Higher-Order
Simulations:
Strategic
Investment
Under
Model-Induced
Price
Patterns,
Gilbert
Peffer
and
Brbara
Llacay,
Journal
of
Artificial
Societies
and
Social
Simulation
vol.
10,
no.
2,
6
<http://jasss.soc.surrey.ac.uk/10/2/6.html>,
2007
4. The
Black
Swan,
the
impact
of
the
highly
improbable,
Nassim
Nicholas
Taleb,
Random
House,
2007
5. Risk
Frameworks
and
Applications-
2nd
Edition,
Jawwad
A.
Farid,
2011
Please
do
not
photocopy
or
distribute
without
permission.
All
rights
reserved
Alchemy
Software
Pvt
Limited.
http://FourQuants.com
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of
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