Empirical Research on Relationships Between Marginal-VaR, Component-VaR and Incremental-VaR

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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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Bibliographic Details
Main Author:	Li, Kai
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2013
Subjects:	Relationship MVaR CVaR IVaR Non-linear asset
Online Access:	https://eprints.nottingham.ac.uk/26916/

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