Modern risk management faces uncertainty unfolding in fixed time horizon related to the firm's investment strategies. Publicized financial disasters suggest the need for a measure dynamically consistent with hedging or arbitrage strategies which produce negative cash flows within a certain horizon. The purpose of this paper is to address the issue of constructing a dynamic version of Value at Risk that could be useful when monitoring intermediate profits and losses. We call the resulting risk measure dynamic VaR, providing a construction more oriented to implementation as opposite to axiomatic results of a recent body of literature.

The Engineering of a Dynamic VaR

ROSSELLO, ANTONINO DAMIANO
2004

Abstract

Modern risk management faces uncertainty unfolding in fixed time horizon related to the firm's investment strategies. Publicized financial disasters suggest the need for a measure dynamically consistent with hedging or arbitrage strategies which produce negative cash flows within a certain horizon. The purpose of this paper is to address the issue of constructing a dynamic version of Value at Risk that could be useful when monitoring intermediate profits and losses. We call the resulting risk measure dynamic VaR, providing a construction more oriented to implementation as opposite to axiomatic results of a recent body of literature.
0-88986-417-9
Brownian functionals, Hedging, Monte Carlo simulation, Risk management, Risk measures
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/20.500.11769/105279
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 0
  • ???jsp.display-item.citation.isi??? ND
social impact