… requirements based on value-at-risk (VaR) estimates. As a result, value-at-risk has come …
Value-at-risk is mainly concerned with market risk. It can be defined as the maximal loss of a …

… Value at Risk (VaR) has become the standard measure that financial analysts use to
quantify market risk. VaR is defined as the maximum potential change in value of a portfolio of …

… that different methodologies can yield different Value-at-Risk measures for the same portfolio,
… owing to deficiencies of the underlying models is called ‘model risk’, and is recognized as …

… In this chapter, we apply some of the tools from previous chapters to develop a tractable
dynamic model for computing the Value-at-Risk (VaR) and other risk measures of a portfolio of …

… This approach drastically simplifies the procedure for computing the Value at Risk, since
it doesn't make any distributional assumption about portfolio returns. Historical Simulation is …

… We will refer to this model as the gamma-normal model. In Section 6, we compare the out-of-sample
performance of these four models using a hypothetical portfolio and equity return …

… This article explores this question by applying value-at-risk models to 1,000 randomly … model
performance. We consider, for example, how closely risk measures produced by the models …

… performance of banks trading risk models by examining the statistical accuracy of … Value-at-Risk
models, this article is the first to provide a detailed analysis of the performance of models …

… VOLUME IV: Value-at-Risk Models Although the four volumes are very much interlinked,
each containing numerous cross-references to other volumes, they are written as self-contained …

… and their clients is 'value at risk' (VaR). Fred Stambaugh explains the concept of 'value at risk'
and describes three principal … One of the principal methods in this regard is Value at Risk. …