Linsmeier & Pearson (1996): "Risk Ölçümü"

RepEc - LogEc sistemindeki "çalışma metinleri" (working papers) kategorisinde bugüne dek en çok "download" edilen iktisat makaleleri sıralamasında en başta Linsmeier ve Pearson'un şu makalesi geliyor:

Linsmeier, T. J & Neil Pearson (1996): "Risk Measurement: An Introduction to Value at Risk", EconWPA.

Abstract: This paper is a self-contained introduction to the concept and methodology of "value at risk," which is a new tool for measuring an entity's exposure to market risk. We explain the concept of value at risk, and then describe in detail the three methods for computing it: historical simulation; the variance-covariance method; and Monte Carlo or stochastic simulation. We then discuss the advantages and disadvantages of the three methods for computing value at risk. Finally, we briefly describe some alternative measures of market risk.