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Fallon W – Calculating Value At Risk

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Calculating Value At Risk

Value At Risk

The value of a portfolio of financial assets is subject to many risks: credit risks, market risks, etc. \Value at Risk,VaR,

is a statistical estimate of the market risk of a portfolio.

VaR attempts to answer the following question. Given a certain confidence level and a specified time horizon, what is the maximum potential loss of the portfolio?

Researchers and practitioners haveproposed many methods of measuring market risk.

In 1994 Morgan disclosed its RiskMetrics methodology and made its volatility and correlation data set publicly available. This quickly set the RiskMetrics variance-covariance method of calculating \Value at Risk as an industry standard and it has become a benchmark in the measurement of financial market risks.

Value At Risk

 

  • عنوان مقاله : Fallon W - Calculating Value At Risk
  • نوع فایل : PDF
  • حجم فایل : 960 کیلوبایت
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