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8 Resources for

value at risk

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INVESTORS LOOK AT RISK, RE-EVALUATE PRACTICES: MOST SAY VAR MEASURES REMAIN VALUABLE.: Market turmoil in August and September led some institutional investors to re-evaluate and update their risk management practices, especially value at risk. Value at risk might have been getting too much emphasis at the expense of stress testing a Market turmoil in August...; Tags: General Electric Co., risk management, value-added reseller, Value at Risk; Research articles 1998-12-14
Capital Rules Eased for NYSE Specialist Firms: It's easier now for a Big Board specialist firm to get hitched. That's because the New York Stock Exchange Group's specialist "marriage penalty" capital requirement was just eliminated under a rule change approved by the Securities and Exchange Commission It's easier now for a Big Board specialist firm to get...; Tags: NYSE Euronext, Value at Risk; Research articles 2006-09-01
VAR GETS PASSING GRADE FROM GE PENSION EXECS; EMERGING MARKETS ASIDE, RISK TOOL HAS `WORKED WELL' OVERALL.: STAMFORD, Conn. -- GE Investments pension executives gave value at risk a passing grade for its performance during 1998's volatile markets, although VAR didn't meet expectations regarding emerging markets investments. GE has used value at risk as STAMFORD, Conn. -- GE Investments...; Tags: General Electric Co., value-added reseller, Value at Risk; Research articles 1999-02-08
Improving Grid-Based Methods For Estimating Value At Risk Of Fixed-Income Portfolios: Article discusses a discrete grid method for simplifying the computation of Value at Risk VaR for fixed-income portfolios provided by Jamshidian and Zhu. The method relies on two simplifications. First, the value of fixed income instruments is modeled as depending on a small number of risk factors chosen using principal...; Tags: Value At Risk, Investment, Corporate Governance, Finance, Business Operations, Corporate Law; White papers 2000-03-23
Introduction to Value at Risk (VAR) - Part 2 of 2: This article discusses on the information regarding Risk Management. Value at Risk VAR or VaR is a special type of downside risk measure. Rather than produce a single statistic or express absolute certainty, it makes a probabilistic estimate. With a given confidence level, it asks, "What is the maximum expected...; Tags: Value At Risk, Investopedia, Investment, Finance; White papers 2004-10-13

Introduction to Value at Risk (VAR) - Part 1 of 2: This article elaborates information on Risk Management. VAR or sometimes VaR) has been called the "new science" of risk management, but you do not need to be a scientist to use VAR. The most popular and traditional measure of risk is volatility. The main problem with volatility, however, is that...; Tags: Value At Risk, Investopedia, Investment, Finance; White papers 2004-09-29
Value at Risk: A Methodology for Information Security Risk Assessment: This paper presents Value at Risk VAR, a new methodology for Information Security Risk Assessment. VAR summarizes the worst loss due to a security breach over a target horizon, with a given level of confidence. More formally, VAR describes the quantile of the projected distribution of losses over a given...; Tags: Information Security, Value At Risk, Investment, Finance; White papers 2001-08-15
The International CAPM and a Wavelet-Based Decomposition of Value at Risk: In this paper, the authors formulate a time-scale decomposition of an international version of the CAPM that accounts for both market and exchange-rate risk. In addition, an analytical formula is derived for time-scale value at risk and marginal Value at Risk VaR of a portfolio. The methodology is applied to...; Tags: Value At Risk, National Bureau Of Economic Research, Decomposition, Investment, Finance; White papers 2006-05-01

Additional Resources

Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices: This article analyzes optimal, dynamic portfolio and wealth/consumption policies of utility maximizing investors who must also manage market-risk exposure using Value-at-Risk VaR. We find that VaR risk managers often optimally choose a larger exposure to risky assets than non risk managers, and consequently incur larger losses, when losses...; Tags: Asset, Volatility, Asset Price, Risk Manager, Social Science Electronic Publishing Inc., Risk Management, Asset Management, Investment, Operational Planning, Business Operations, Finance; White papers 2003-01-01
How Accurate Are Value-at-Risk Models At Commercial Banks?: In recent years, the trading accounts at large commercial banks have grown substantially and become progressively more diverse and complex. The paper provides descriptive statistics on the trading revenues from such activities and on the associated Value-at-Risk forecasts internally estimated by banks. For a sample of large bank holding companies,...; Tags: Bank, Federal Reserve Board, Commercial Bank, Governor, Corporate Governance, Financial Services, Financing Startups, Performance Management, Business Operations, Corporate Law, Finance, Human Resources, Workforce Management; White papers 2001-07-01
Do Hedge Funds Have Enough Capital? A Value-at-Risk Approach: This paper examines the risk characteristics and capital adequacy of hedge funds using Value-at-Risk based on Extreme Value Theory as the criterion for measuring risk and estimating capital requirements. Using extensive data on nearly thirteen hundred live and dead hedge funds, this paper finds that the vast majority of funds...; Tags: Hedge Fund, Tsinghua University, Investment, Financial Services, Finance; White papers 2002-11-12
Value at Risk: Essential, Yet Also Largely Irrelevant: Eric Falkenstein submits: I find Value at Risk VaR very useful, mainly so that you know people aren't taking unauthorized bets. If a rogue trader decides to punt on the dollar-yen exchange rate, that will show up, so it is helpful in keeping your traders in line. But it...; Tags: Financial, Eric Falkenstein; External links 2009-06-11
Credit Rationing Effects of Credit Value-at-Risk: Banks provide risky loans to firms which have superior information regarding the quality of their projects. Due to asymmetric information the banks face the risk of adverse selection. Credit Value-at-Risk CVaR regulation counters the problem of low quality, i.e. high risk, loans and therefore reduces the risk of the bank...; Tags: Bank, Risk, Erasmus University Rotterdam, Regulations, Financial Services, Strategy, Government, Management; White papers 2004-03-12
Russell/Mellon Analytical Services and Measurisk.com Will Publish Value At Risk Measures On Russell Indices and Universes: Business Editors NEW YORK--BUSINESS WIRE--May 2, 2000 Russell/Mellon Analytical Services and Measurisk.com today announced that beginning in the third quarter of 2000 the companies will publish value at risk measures on 18 Russell indices provided by Russell/Mellon and on the nine universes they support. The published risk...; Tags: Russell/Mellon Analytical Services; Research articles 2000-05-02
Extreme Value Theory and Value-at-Risk: Relative Performance in Emerging Markets: This paper investigates the relative performance of Value-at-Risk VaR models with the daily stock market returns of nine different emerging markets. In addition to well-known modeling approaches, such as variance-covariance method and historical simulation, the paper studies the extreme value theory EVT to generate VaR estimates and provide the tail...; Tags: Theory, Performance, Emerging Market, Modeling, IIF, Research & Development, Performance Management, Marketing Research, Financial Services, Business Operations, Human Resources, Workforce Management, Marketing; White papers 2004-06-09
Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Management: This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. In particular, it is shown that under certain conditions portfolio returns...; Tags: Asset, Volatility, Risk Management, Investment, Finance; White papers 2004-12-01
History repeats itself. (use of value-at-risk measure by banks): The value-at-risk VAR is a popular and established measure of bank risk. Advocates attest to its 97.5% certainty as it evaluates exposure and suggests the how and where to place money most efficiently and safely. The basis of resultant projections of VAR is a mixture of extrapolative information and historical...; Tags: bank, J.P. Morgan Chase & Co., MARKETING, Retail, RiskMetrics; Research articles 1996-03-01
Credit Risk Contributions to Value-at-Risk and Expected Shortfall: This paper presents analytical solutions to the problem of how to calculate sensible VaR (Value-at-Risk) and ES Expected Shortfallcontributions in the CreditRisk+ methodology. Via the ES contributions, ES itself can be exactly computed in finitely many steps. The methods are illustrated by numerical examples.; Tags: Methodology; White papers 2002-11-22
Evaluating Covariance Matrix Forecasts In A Value-at-Risk Framework: Covariance matrix forecasts of financial asset returns are an important component of current practice in financial risk management. A wide variety of models, ranging from matrices of simple summary measures to covariance matrices implied from option prices, are available for generating such forecasts. This paper evaluates the relative accuracy of...; Tags: Covariance Matrix Forecast, Loss Function, VaR, Currency & Foreign Exchange, Asset Management, Financial Accounting, Finance, Operational Planning, Business Operations; White papers 2000-04-17
Value-at-Risk (VaR) Analysis: This article, discusses about the derivatives "greeks", tools derivatives end-users employ to describe and to characterize the various exposures to fluctuations in financial prices inherent in a particular position or portfolio of instruments. Such a portfolio of instruments may include cash instruments, derivatives instruments, borrowing and lending. In this article,...; Tags: Derivatives, Analysis, Financial Services; White papers