Browsing Studentoppgaver (TN-ISØP) by Subject "historical simulation"
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Value-at-risk: A coherent measure of risk?
(Masteroppgave/UIS-TN-IØRP/2011;, Master thesis, 2011)Value-at-risk is an instrument which is widely used by financial institutions for calculating risk. It has been known since the late nineties that this tool lacks an important logical property: subadditivity. This can cause ...