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- W2120321968 abstract "One of the key concepts of risk measurements in financial sector and industrial sector is the probabilitybased risk measurement method known as Value-at-Risk or VaR. The results produced by a VaR model are simple for all levels of staff from all areas of an organisation to understand and appreciate. That is why VaR has been adopted so rapidly. We present some methods that use classical approach, and that uses copula approach for computing VaR, in this paper. The theory of copulas is known to provide a useful tool for modelling dependence in integrated risk management. Judicious choices of the method, with respect to the data used and computational aspect can be made to reduce the overall costs and computational time." @default.
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- W2120321968 date "2007-01-01" @default.
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- W2120321968 title "A comparison of Value-at-Risk methods for measurement of the financial risk 1" @default.
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