Empirical Research on Relationships Between Marginal-VaR, Component-VaR and Incremental-VaR
The aim of this dissertation is to investigate whether the relationships between Marginal-VaR, Component-VaR and Incremental-VaR demonstrated by Hallerbach (2002) are valid. Marginal-VaR, Component-VaR and Incremental-VaR contribute to portfolio managers to get more information on market risk of a p...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2013
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| Online Access: | http://eprints.nottingham.ac.uk/26916/ http://eprints.nottingham.ac.uk/26916/1/Empirical_Research_on_Relationships_Between_Marginal-VaR%2C_Component-VaR_and_Incremental-VaR.pdf |