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Exploring the Limitations of Value at Risk: How Good Is It in Practice?

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  • ANDREAS KRAUSE

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  • Andreas Krause, 2003. "Exploring the Limitations of Value at Risk: How Good Is It in Practice?," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 4(2), pages 19-28, January.
    • Handle: RePEc:eme:jrfpps:eb022958
    DOI: 10.1108/eb022958
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    Cited by:

    1. Kevin Maritato & Stan Uryasev, 2023. "Derivative of Reduced Cumulative Distribution Function and Applications," JRFM, MDPI, vol. 16(10), pages 1-24, October.
    2. Kim Oosterlinck, 2024. "Arturo Cifuentes and Ventura Carlin: the worth of art. Financial tools for the art market. New York, Columbia University Press, 2023," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 48(1), pages 167-170, March.
    3. E. Lorenzo & G. Piscopo & M. Sibillo, 2024. "Addressing the economic and demographic complexity via a neural network approach: risk measures for reverse mortgages," Computational Management Science, Springer, vol. 21(1), pages 1-22, June.
    4. Dai, Yun-Shi & Dai, Peng-Fei & Zhou, Wei-Xing, 2023. "Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
    5. Alessio Ciullo & Eric Strobl & Simona Meiler & Olivia Martius & David N. Bresch, 2023. "Increasing countries’ financial resilience through global catastrophe risk pooling," Nature Communications, Nature, vol. 14(1), pages 1-9, December.
    6. Borer, Daniel & Perera, Devmali & Fauzi, Fitriya & Chau, Trinh Nguyen, 2023. "Identifying systemic risk of assets during international financial crises using Value at Risk elasticities," International Review of Financial Analysis, Elsevier, vol. 90(C).

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