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Market risk : exponential weighting in the value-at-risk calculation

Broll, Udo; Förster, Andreas - 2020

When measuring market risk, credit institutions and Alternative Investment Fund Managers may deviate from equally weighting historical data in their Value-at-Risk calculation and instead use an exponential time series weighting. The use of exponential weighting in the Value-at-Risk calculation...

Persistent link: https://www.econbiz.de/10012285469

Deflation und Stagnation

Broll, Udo; Förster, Andreas; Rück, Ramona - In: Das Wirtschaftsstudium : wisu ; Zeitschrift für … 49 (2020) 10, pp. 1050-1057

Persistent link: https://www.econbiz.de/10012305092

Market risk, value-at-risk and exponential weighting

Broll, Udo; Förster, Andreas - In: Economics and business review 8/22 (2022) 2, pp. 80-91

Persistent link: https://www.econbiz.de/10013369763

Risk sharing markets and export production

Broll, Udo - In: Firms, markets and contracts : contributions to …, (pp. 273-279). 1996

Persistent link: https://www.econbiz.de/10001293200

Export production and cross hedging

Broll, Udo - 1994

Persistent link: https://www.econbiz.de/10000903818

Foreign production and forward markets

Broll, Udo - 1994

Persistent link: https://www.econbiz.de/10000879610

Foreign production and optimal hedging of risky revenues

Broll, Udo - 1994

Persistent link: https://www.econbiz.de/10000885070

Multinational firm, foreign production, and international hedging

Broll, Udo - 1992

Persistent link: https://www.econbiz.de/10000374253

Intra-firm trade and exchange rate risk

Broll, Udo - In: Trade, growth and economic policy in open economies : …, (pp. 93-98). 1998

Persistent link: https://www.econbiz.de/10001300196

International capital market, currency forward contract and the export decision

Broll, Udo - In: Swiss journal of economics and statistics 128 (1992) 2, pp. 125-131

Persistent link: https://www.econbiz.de/10001125498

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