A Study of the Delta-Normal Method of Measuring VaR
This thesis describes the Delta-Normal method of computing Value-at-Risk. The advantages and disadvantages of the Delta-Normal method compared to the Historical and Monte Carlo method of computing Value-at-Risk are discussed. The Delta-Normal method of computing Value-at-Risk is compared with the Hi...
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Digital WPI
2005
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| Online Access: | https://digitalcommons.wpi.edu/etd-theses/793 https://digitalcommons.wpi.edu/cgi/viewcontent.cgi?article=1792&context=etd-theses |