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Market risk, value-at-risk and exponential weighting Cover

Market risk, value-at-risk and exponential weighting

Economics and Business Review
Volume 8 (2022): Issue 2 (July 2022)
By: Udo Broll and  Andreas Förster  
Open Access
|Jul 2022

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DOI: https://doi.org/10.18559/ebr.2022.2.5 | Journal eISSN: 2450-0097 | Journal ISSN: 2392-1641
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Language: English
Page range: 80 - 91
Submitted on: Feb 24, 2022
Accepted on: Jun 25, 2022
Published on: Jul 18, 2022
Published by: Poznań University of Economics and Business Press
In partnership with: Paradigm Publishing Services
Publication frequency: 4 issues per year
Keywords:
banks,
financial intermediaries,
risk management,
market risk,
exponentially weighted moving average,
weighting scheme,
value-at-risk
Related subjects:
Business and economics,
Political economics,
Political economics, other,
Finance,
Mathematics and statistics for economists,
Econometrics

© 2022 Udo Broll, Andreas Förster, published by Poznań University of Economics and Business Press
This work is licensed under the Creative Commons Attribution 4.0 License.

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