Professional paper
https://doi.org/10.46672/zsl.9.10.9
Hands-On Value-at-Risk with Mathematica
Miljenko Petrović
; C&M Ltd, Hamilton, Bermuda
Miljenka Krolo-Petrović
; XI. gimnazija, Savska 77, Zagreb, Hrvatska
Abstract
The history of finance is intertwined with financial losses that have led to the Value-at-Risk as a universal benchmark for managing financial risk. VaR is a statistical measure of possible portfolio losses due to market risk i.e. losses greater than the VaR are suffered only with a specified small probability. VaR has developed into an active risk management tool. With VaR on hand one can decide how to trade off risk. Mathematica software can be used to calculate VaR.
Keywords
Risk Metrics, Value-at-Risk, Expected Loss, Mathematica
Hrčak ID:
327135
URI
Publication date:
31.12.2024.
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