Publication:
A Quick glance at risk measurement in risk management.

Issued Date

2009

Resource Type

Article

Language

eng

Rights

Mahidol University

Bibliographic Citation

International Management Science Journal. Vol.1, No. 1 (2009-2010), 1-8

Suggested Citation

Sarayut Nathaphan A Quick glance at risk measurement in risk management.. International Management Science Journal. Vol.1, No. 1 (2009-2010), 1-8. Retrieved from: https://repository.li.mahidol.ac.th/handle/20.500.14594/10521

Research Projects

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Authors

Journal Issue

Thesis

Title

A Quick glance at risk measurement in risk management.

Author(s)

Sarayut Nathaphan

Other Contributor(s)

Mahidol University. Mahidol University International College. Business Administration Division.

Abstract

Risk measurement based on portfolio concept such as Value at Risk (VaR) or Conditional Value at Risk (CVaR) captures effects from related risk factors on portfolio value. VaR is an appropriate risk measurement for the normal market condition whereas CVaR focuses the behavior of loss in the loss distribution. To manage risk effectively, magnitude of what is at risk and effect of such risk factor on portfolio value should be determined.

Keyword(s)

Value at risk
 Conditional value at risk
 Risk management

Availability

URI

https://repository.li.mahidol.ac.th/handle/20.500.14594/10521

Collections

MUIC-Article