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Value-At-Risk

  • David Ruppert
Part of the Springer Texts in Statistics book series (STS)

Abstract

The financial world has always been risky, but for a variety of reasons the risks have increased over the last few decades. One reason is an increase in volatility. Equity returns are more volatile, as can be seen in Figure 11.1 where the average absolute value of daily log returns of the S&P 500 has approximately doubled over the period from 1993 to 2003. Foreign exchange rates are more volatile now than before the breakdown in the 1970s of the Bretton Woods agreement of fixed exchange rates.1 Interest rates rose to new levels in the late 1970s and early 1980s, have risen and fallen several times since then, and are now (in 2003) extremely low. Figure 4.7 shows that interest rate volatility has itself varied over time but has certainly been higher since 1975 than before.

Keywords

Risk Measure Nonparametric Estimate Call Option Initial Investment Return Distribution 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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References

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Copyright information

© Springer Science+Business Media New York 2004

Authors and Affiliations

  • David Ruppert
    • 1
  1. 1.School of Operations Research and Industrial EngineeringCornell UniversityIthacaUSA

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