Long-Run Value at Risk: Approaches, Models, Parameters & Assumptions - Stark, Erich
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Written in 2008, this book was focused upon possibilities of calculating long-run VaR figures and the approaches and models that can be implemented to achieve accurate risk-measurements for long time horizons based upon the available models at the time. Initially, the general elements and aspects of the VaR methodology are presented and the standard short-run VaR models are surveyed and analyzed with regard to their applicability or even expandability towards the longer VaR horizons. In this evaluation the simplifications present in these short-run models are highlighted and critically…mehr

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Produktbeschreibung
Written in 2008, this book was focused upon possibilities of calculating long-run VaR figures and the approaches and models that can be implemented to achieve accurate risk-measurements for long time horizons based upon the available models at the time. Initially, the general elements and aspects of the VaR methodology are presented and the standard short-run VaR models are surveyed and analyzed with regard to their applicability or even expandability towards the longer VaR horizons. In this evaluation the simplifications present in these short-run models are highlighted and critically evaluated as to their validity in long-run scenarios. After providing for a fundamental understanding of the basic VaR concepts, standard VaR, and critical issues with regard to long-run VaR, the main part of this book presents an extensive survey of possible approaches and models for calculating long-run VaR for horizons up to and in excess of twelve months. Throughout the analysis various comparative studies evaluating the accuracy of different approaches and their results are presented in an attempt to determine an "optimal" approach or model for calculating long-run VaR.
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Autorenporträt
Erich Stark is a seasoned finance professional who has been engaged in theoretical and practical aspects of capital markets, corporate finance, and risk management since his university studies. His career covers vast experience in treasury functions of global corporations and consulting corporate clients in various aspects of finance and treasury.