IDEAS home Printed from https://ideas.repec.org/h/spr/sptchp/978-3-031-53126-2_6.html
   My bibliography  Save this book chapter

Course Unit 2: Determination of Portfolio Risks

In: Corporate Risk Management

Author

Listed:
  • Dietmar Ernst

    (Nürtingen-Geislingen University of Applied Science (HfWU))

  • Joachim Häcker

    (Munich University of Applied Sciences)

Abstract

You will be able to calculate the portfolio risk with the variance-covariance method and place the concept in modern capital market theory. You will have mastered portfolio risk calculation using historical simulation and will be able to explain the differences from the variance-covariance method. You will be able to perform Monte Carlo simulations for normally distributed and calibrated risk parameters and explain differences in the results. You will be familiarized with the concept of Copula functions, explaining them and using them to calculate portfolio risk. Also, you will calculate the market value of equity using stock market multiples.

Suggested Citation

  • Dietmar Ernst & Joachim Häcker, 2024. "Course Unit 2: Determination of Portfolio Risks," Springer Texts in Business and Economics, in: Corporate Risk Management, pages 119-152, Springer.
    • Handle: RePEc:spr:sptchp:978-3-031-53126-2_6
    DOI: 10.1007/978-3-031-53126-2_6
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sptchp:978-3-031-53126-2_6. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.