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F&S Investments: Understanding Value at Risk

Stephen Sapp

商品編號:9B08N009
出版日期:2008/04/21
再版日期:
商品來源:Ivey
商品主題:Finance
商品類型:Note
涵蓋議題:Statistical Analysis;Risk Analysis;Risk Management;Investment Analysis
難易度:4 - Undergraduate/MBA
內容長度:12 頁
地域:Canada
產業:Holdings and other Investment Companies
事件年度:2007

Within the context of a fictitious hedge fund, a new analyst has been asked to use value at risk (VaR) to evaluate two potential additions to its portfolio of funds. The case introduces a number of different methods of calculating VaR using many of the most common parametric and simulation-based techniques.

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