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
LAMANTIA, FABIO GIOVANNI;
2004-01-01
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.File in questo prodotto:
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