Value at Risk as a Diagnostic Tool for Corporates: The Airline Industry
In recent years the Value at Risk (VaR) concept for measuringdownside risk has been widelystudied. VaR basically is a summary statistic that quantifies theexposure of an asset or portfolio tomarket risk, or the risk that a position declines in value withadverse market price changes. Threeparties have been particularly interested: financial institutions,regulators and corporates. In this paper, we focus on VaR use for corporates. This field isrelatively unexplored. We showhow VaR can be helpful to study market value risk -- proxied by shareprice risk. We develop amethodology to decompose the ov... Mehr ...
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Dokumenttyp: | doc-type:workingPaper |
Erscheinungsdatum: | 1999 |
Verlag/Hrsg.: |
Amsterdam and Rotterdam: Tinbergen Institute
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Schlagwörter: | ddc:330 / Portfolio-Management / Risiko / Luftverkehrsgesellschaft / Controlling / Niederlande |
Sprache: | Englisch |
Permalink: | https://search.fid-benelux.de/Record/base-27247565 |
Datenquelle: | BASE; Originalkatalog |
Powered By: | BASE |
Link(s) : | http://hdl.handle.net/10419/85539 |