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Confidence Intervals for the Value-at-Risk

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Risk Measurement, Econometrics and Neural Networks

Part of the book series: Contributions to Economics ((CE))

Abstract

Exact and asymptotic confidence intervals for the Value-at-Risk (VaR) are derived in a parametric context with linear portfolio structure and multinormal distributed returns.1

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Author information

Authors and Affiliations

  1. TU Dresden, Fakultät Wirtschaftswissenschaften, 01062, Dresden, Germany

    Stefan Huschens

Authors
  1. Stefan Huschens
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Editor information

Editors and Affiliations

  1. Institut für Statistik und Mathematische Wirtschaftstheorie, Universität Karlsruhe, Neuer Zirkel 3, D-76128, Karlsruhe, Germany

    Georg Bol

  2. Daimler Benz AG, Postfach 2360, D-89013, Ulm, Germany

    Gholamreza Nakhaeizadeh

  3. Südwestdeutsche Genossenschaftszentralbank AG, Karl-Friedrich-Straße 23, D-76049, Karlsruhe, Germany

    Karl-Heinz Vollmer

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© 1998 Springer-Verlag Berlin Heidelberg

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Huschens, S. (1998). Confidence Intervals for the Value-at-Risk. In: Bol, G., Nakhaeizadeh, G., Vollmer, KH. (eds) Risk Measurement, Econometrics and Neural Networks. Contributions to Economics. Physica, Heidelberg. https://doi.org/10.1007/978-3-642-58272-1_12

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  • DOI: https://doi.org/10.1007/978-3-642-58272-1_12

  • Publisher Name: Physica, Heidelberg

  • Print ISBN: 978-3-7908-1152-0

  • Online ISBN: 978-3-642-58272-1

  • eBook Packages: Springer Book Archive

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