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Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.14/138696
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- Title
- Risk and probability measures
- Related
- Risk, Vol. 15, Issue 7, July 2002, (2002), p.53-57
- Related
- http://www.risk.net/data/Pay_per_view/risk/technical/2002/0702_boyle.pdf
- Publisher
- Incisive Financial Publishing
- Date
- 2002
- Author/Creator
- Boyle, Phelim
- Author/Creator
- Siu, Tak Kuen
- Author/Creator
- Yang, Hailiang
- Description
- Although its drawbacks are well known, VAR has become institutionalised as the market risk measure of choice among trading firms and regulators. Now there is a growing feeling that a reappraisal is overdue, exemplified here by Phelim Boyle, Tak Kuen Siu and Hailiang Yang. Using the example of an unhedged option position in the classic two-level binomial tree framework, they evaluate VAR and alternative risk measures using objective and subjective probability measures.
- Description
- 5 page(s)
- Subject Keyword
- conditional default rates
- Subject Keyword
- expected shortfall
- Subject Keyword
- quantitative analysis
- Subject Keyword
- risk-neutral modelling
- Subject Keyword
- value-at-risk (VAR)
- Resource Type
- journal article
- Organisation
- Macquarie University. Department of Actuarial Studies
- Identifier
- http://hdl.handle.net/1959.14/138696
- Identifier
- mq:15225
- Identifier
- ISSN:0952-8776
- Identifier
- mq-rm-2009000493
- Language
- eng
- Reviewed
Macquarie University ResearchOnline
