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一篇关于Var 的文章,全英文.目录如下:
Contest
1. INTRODUCTION...................................................................................................................2
2. RISK MEASUREMENT IN PORTFOLIO MANAGEMENT ...........................................................3
2.1. Definition of the problem ...........................................................................................3
2.2. Objectives and research questions..............................................................................4
3. THE ECONOMIC IMPORTANCE OF VALUE-AT-RISK..............................................................6
4. VALUE-AT-RISK CALCULATIONS IN A PRAXIS ....................................................................7
4.1. The Estimations by one Swiss Private Bank ..............................................................7
4.2. Wegelin Value-at-Risk Scenarios ..............................................................................9
5. EMPIRICAL RESEARCH ......................................................................................................10
5.1. Value-at-Risk and Limitation...................................................................................10
5.2. The First Empirical Results......................................................................................12
5.3. Conclusion................................................................................................................14
6. DYNAMIC STRATEGY OF VALUE-AT-RISK ESTIMATION....................................................16
7. OUTLOOK.........................................................................................................................17
BIBLIOGRAPHY.....................................................................................................................18
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