## Abstract We propose a new approach to the estimation of the portfolio ValueβatβRisk. Based on the assumption that the same macroeconomic factors affect returns of all assets in a portfolio, this methodology allows the generation of the sequence of hypothetical future equilibrium portfolio return
Value-at-Risk for country risk ratings
β Scribed by Michael McAleer; Bernardo da Veiga; Suhejla Hoti
- Publisher
- Elsevier Science
- Year
- 2011
- Tongue
- English
- Weight
- 403 KB
- Volume
- 81
- Category
- Article
- ISSN
- 0378-4754
No coin nor oath required. For personal study only.
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