Estimation methods for Value at Risk
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چکیده
In the last few decades, risk managers have truly experienced a revolution. The rapid increase in the usage of risk management techniques has spread well beyond derivatives and is totally changing the way institutions approach their financial risk. In response to the financial disasters of the early 1990s a new method called VaR (Value at Risk) was developed as a simple method to quantify market risk (In recent years, VaR has been used in many other areas of risk including credit risk and operational risk). Some of the financial disasters of the early 1990s are:
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