Comparing different methods for estimating value-at-risk (VaR) in emerging markets.

• Main Author: Wong, Kok Choy.
• Other Authors: Yan, Yuxing
• Format: Theses and Dissertations
• Language: English
• Published: 2008
• Subjects: DRNTU::Business::Finance::Risk management
• Online Access: http://hdl.handle.net/10356/7790
• Institution: Nanyang Technological University

In the recent years, Value-at-risk (VaR) has become the standard risk measurement approach to measure market risk of financial and commodity derivative instruments and other financial instruments. VaR, though widely used by commercial bankers, derivative dealers, corporate treasury risk managers an...