Hedging contract for value at risk based risk  management

Mitra, S (2019) Hedging contract for value at risk based risk  management. Journal of Uncertain Systems, 13 (1). pp. 56-74.

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Abstract

Risk management has become one of the core functions of all businesses over the past 30 years, it is a vital part of every business organisation. Whilst a number of risk management methods have been devised over the years to mitigate risk, many firms still suffer from being unable to manage losses. Value at Risk has become an industry standard for risk measurement and risk based decision making. However Value at Risk based decision making leads to problems in managing the risk identified using this method. In this paper we provide a method for hedging risk that is determined using the Value at Risk methodology.

Item Type:	Article
Uncontrolled Keywords:	value at risk, risk management, hedging, uncertain systems, stochastic processes
Depositing User:	Symplectic Admin
Date Deposited:	02 Jan 2019 13:55
Last Modified:	19 Jan 2023 01:09
Related URLs:	Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3030169

Available Versions of this Item

• Hedging Contract For Value at Risk Based Risk Management. (deposited 07 Dec 2018 12:37)
  • Hedging contract for value at risk based risk  management. (deposited 02 Jan 2019 13:55) [Currently Displayed]