Evaluating the use of RiskMetrics as a risk measurement tool for your operation: advantages and limitations

Alexander, Carol (1996) Evaluating the use of RiskMetrics as a risk measurement tool for your operation: advantages and limitations. Derivatives: Use, Trading and Regulation, 2 (3). pp. 277-285. ISSN 1753-9641

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Abstract

Value At Risk (VAR) has become one of the accepted norms in financial decision making - not just for risk managers and regulators, but for anyone concerned with the actual numbers produced: traders, fund managers, corporate tresurers, etc.. Not only is capital set aside for regulatory compliance on the basis of these measures - such things as trading limits or capital allocation decisions may be set.

Item Type: Article
Additional Information: Journal now called "Journal of Derivatives & Hedge Funds"
Schools and Departments: School of Business, Management and Economics > Business and Management
Subjects: H Social Sciences > HG Finance
Depositing User: Carol Alexander
Date Deposited: 26 Sep 2012 11:39
Last Modified: 26 Sep 2012 11:39
URI: http://sro.sussex.ac.uk/id/eprint/40592
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