Memmel, Christoph (contributor); Wehn, Carsten (contributor) - 2005
The Value at Risk of a portfolio differs from the sum of the Values at Risk of the portfolio’s components. In this … paper, we analyze the problem of how a single economic risk figure for the Value at Risk of a hypothetical portfolio … Value at Risk figures of twelve German banks for the period from 2001 to 2003, we estimate the Value at Risk of the entire …