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Topic: Value at risk

Related Topics

Market risk

Modern portfolio theory

Liquidity risk

Risk management

Operational risk

Risk Seeking

Capital asset pricing model

Legal risk

Portfolio (finance)

Systemic risk

Risk

Volatility risk

Arbitrage pricing theory

Credit risk

Risk aversion

	Value at risk - Wikipedia, the free encyclopedia
		In economics and finance, value at risk (VaR) is a measure (a number) saying how the market value of an asset or of a portfolio of assets is likely to decrease over a certain time period (usually over 1 day or 10 days) under usual conditions.
		It is typically used by security houses or investment banks to measure the market risk of their asset portfolios (market value at risk), but is actually a very general concept that has broad application.
		Unfortunately, VaR is not the panacea of risk measurement methodologies.
	en.wikipedia.org /wiki/Value_at_risk (1122 words)

	Value-at-Risk: VaR Measure
		Unlike market risk metrics such as the Greeks, duration and convexity, or beta, which are applicable to only certain asset categories or certain sources of market risk, VaR is general.
		of the portfolio’s market value is analogous to the task of estimating the standard deviation of portfolio return, a task you may be familiar with from portfolio theory.
		Output comprises the value of a VaR metric.
	www.riskglossary.com /articles/var_measure.htm (2569 words)

	Against Value at Risk
		I think that VAR would be a wonderful measurement if we had models designed for that purpose and knew something about their parameters.
		I believe that the VAR is the alibi bankers will give shareholders (and the bailing-out taxpayer) to show documented due diligence and will express that their blow-up came from truly unforeseeable circumstances and events with low probability - not from taking large risks they did not understand.
		A use of the covariance matrix that is humble enough to limit itself to conditional expectations (not risks of tail events) is acceptable, provided it is handled by someone with the critical and rigorous mind that develops from the observation of, and experimentation with, real-time market events.
	www.fooledbyrandomness.com /jorion.html (2630 words)

	Value-at-Risk (VaR)
		Value-at-risk (VaR) is a category of risk metrics that describe probabilistically the market risk of a trading portfolio.
		A VaR measurement is the value obtained for that function for a specific portfolio at a specific point in time.
		VaR metric An interpretation of a VaR measure.
	www.riskglossary.com /articles/value_at_risk.htm (1160 words)

	Derivatives Strategy - July/August'97: The VAR Debate: Matching Objectives with the Application (Site not responding. Last check: 2007-11-07)
		VAR and its methodologies are far too powerful and flexible to be confined to a narrowly defined application.
		VAR can also be used to help corporations evaluate the risk of their business operations.
		VAR should not be considered an answer to a company’s risk management concerns; rather it is a tool that can provide valuable decision-enhancing information.
	www.derivativesstrategy.com /magazine/archive/1997/0797col1.asp (1232 words)

	Value at risk - InfoSearchPoint.com (Site not responding. Last check: 2007-11-07)
		In economics and finance, the Value at risk, or VaR, is a measure used to estimate how the value of an asset or of a portfolio of assets will decrease over a certain time period (usually over 1 day or 10 days) under usual conditions.
		Risk is often broken down into different types according to the type of banking activity.
		VaR is used mainly, but not exclusively, for the calculation of market risk.
	www.infosearchpoint.com /display/Value_at_risk (1173 words)

	Orange County Value-at-Risk Case
		VAR is a method of assessing risk that uses standard statistical techniques routinely used in other technical fields.
		VAR is the maximum loss over a target horizon such that there is a low, prespecified probability that the actual loss will be larger.
		There is even an association of risk management professionals, the Global Association of Risk Professionals, which provides a forum for the exchange of information and education in the area of financial risk management.
	www.gsm.uci.edu /~jorion/oc/case.html (2571 words)

	Measuring Risk
		VaR is a number that expresses the maximum expected loss for a given time horizon and for a given confidence interval and for a given position or portfolio of instruments, under normal market conditions, attributable to changes in the market price of financial instruments.
		One way of calculating Bob's return on risk capital is as follows: 30 million dollars/7 million dollars=428.6% Using the same method, Jerry's return on risk capital is: 20 million dollars/2 million dollars=1000.0% It could be reasonably argued that Jerry is a better fund manager in that he used his risk capital more efficiently.
		It is a risk management cliché but you know that you have a bad risk management regime in place if you are surprised by the extent of any gains or losses that you sustain.
	www.finpipe.com /mrisk.htm (1596 words)

	Wikinfo \| Value at risk
		It is typically used by securities houses or investment banks to measure the market risk of their asset portfolios, but is actually a very general concept that has broad application.
		Credit risk is the risk arising from the bank's positions in other companies where those companies may become bankrupt e.g.
		Operational risk is caused by failures of the infrastructure within a bank, such as a critical computer system crashing.
	www.wikinfo.org /wiki.php?title=Value_at_risk (1205 words)

	Subjective Value at Risk by Glyn Holton
		We face risk because we are ignorant about the future-after all, if we were omniscient, there would be no risk.
		Estimate the value of that measure implied by the model.
		The role of the VaR model is to objectively define what that range is. The trader's role is to select the optimal position within the range.
	www.fenews.com /fen1/subjectivevar.html (1463 words)

	Calculating Value-at-Risk - Fallon (ResearchIndex) (Site not responding. Last check: 2007-11-07)
		Quantifying market risk is important to regulators in assessing solvency and to risk managers in allocating scarce capital.
		VaR estimates depending on the methodology used, we refer to: Gizycki and Hereford (1998) Pritsker (1997) Jackson et al.
		Value at risk for a mixture of normal distributions: The use..
	citeseer.ist.psu.edu /371394.html (714 words)

	Derivatives Strategy - March'97: Value-At-Risk (Site not responding. Last check: 2007-11-07)
		The hope is that VAR could be used by investors and analysts to compare one firm's equity capital with that of another, the same way more traditional financial ratios are used.
		To be relevant in risk management, however, VAR depends on two key elements-the ability or need to mark-to-market the firm's assets and liabilities, whether they be on or off the balance sheet, and the need for the firm to meet short-term large negative variations in the market value of its assets through its equity capital.
		The VAR measure provides debt and equity holders with a measure of the equity capital required to sustain market losses for which the market may not be willing to provide short-term funding.
	www.derivativesstrategy.com /magazine/archive/1997/0397col2.asp (1476 words)

	Introduction to Value at Risk (VAR) - Part 1
		'Value at risk' (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.
		Institutional investors use VAR to evaluate portfolio risk, but in this introduction we will use it to evaluate the risk of a single index that trades like a stock: the Nasdaq 100 Index, which trades under the ticker QQQ.
		Value at Risk (VAR) calculates the maximum loss expected (or worst case scenario) on an investment, over a given time period and given a specified degree of confidence.
	www.investopedia.com /articles/04/092904.asp (1351 words)

	Measuring Market Risk with Value at Risk
		Value at Risk is the most widely used method for calculating traded market risk, and as such, there are a number of texts already available which are very strong and varied, including good introductory texts as well as superb texts describing the more intricate details at a detailed level of complexity.
		I think the concept of VaR is familiar to almost all financial engineers, but for clarity, let me provide a definition: for a given portfolio, VaR simply defines the maximum amount that can be lost on the current position within a certain specified time horizon and within a certain specified degree of confidence.
		Measuring Market Risk with Value at Risk contains one unusual chapter which describes fractal distributions and their applications to VaR – this is an oddly academic choice of subject, and one that doesn’t seem to fit in with the rest of the book, which is more practical in nature.
	www.fenews.com /fen34/fen_book_review/fen_book_review.html (1131 words)

	Amazon.co.uk: Mastering Value at Risk: A Step-by-Step Guide to Understanding and Applying VAR (Market Editions): Books (Site not responding. Last check: 2007-11-07)
		However, the communication and application of VaR is a field in which the signal to noise ratio is not high.
		Mastering Value at Risk will close that knowledge gap, introducing this potentially powerful methodology to those most in need of its benefits, and helping all those who encounter VaR to use it wisely.
		For financial institutions and corporate treasuries across the world, Value at Risk (VaR) is rapidly emerging as the dominant methodology for estimating precisely how much money is at risk each day in the financial markets.However, the communication and application of VaR is a field in which the signal-to-noise ratio is not high.
	www.amazon.co.uk /exec/obidos/ASIN/0273637525 (887 words)

	Bobsguide - Risk Management Software including Value at Risk
		CreditEdge Plus is a credit spread valuation framework that provides asset and risk managers insight into the dynamics of the equity, bond and credit default...
		Moody's KMV Risk Advisor is a powerful, credit-grading solution that combines and analyzes an array of objective and judgmental factors in a highly flexible...
		Risk management is more than the optimal pricing of derivatives trades and the management of the P&L for the trading room.Every transaction that the bank...
	www.bobsguide.com /guide/risk.html (579 words)

	Amazon.com: Value At Risk: The New Benchmark for Controlling Derivative Risk: Books (Site not responding. Last check: 2007-11-07)
		In Phillippe Jorion's Value at Risk, learn the specifics of the value-at-risk system, the risk management program that today's leading banks and financial firms use to calculate and track financial risk.
		Value at Risk is the first book to thoroughly explain this increasingly influential system, which allows you to gauge financial risks and take proactive steps to control those risks.
		Jorion is one of the laeding academics on VAR.
	www.amazon.com /exec/obidos/tg/detail/-/0786308486?v=glance (880 words)

	Value-at-Risk Course (Site not responding. Last check: 2007-11-07)
		It will also discuss how risk measurement tools can be used for active management of the risk/return profile of financial institutions.
		This topic is essential for professionals involved in risk management, derivatives research, trading, treasury management, financial corporate strategy, as well as supervision of financial institutions.
		Value at Risk Course: Schedule for Spring 2005
	www.gsm.uci.edu /~jorion/var (328 words)

	Value at Risk - VaR
		A technique used to estimate the probability of portfolio losses based on the statistical analysis of historical price trends and volatilities.
		VaR is commonly used by banks, security firms, and companies that are involved in trading energy and other commodities.
		VaR is able to measure risk while it happens and is an important consideration when firms make trading or hedging decisions.
	www.investopedia.com /terms/v/var.asp (192 words)

	Amazon.com: Value at Risk: The New Benchmark for Managing Financial Risk: Books (Site not responding. Last check: 2007-11-07)
		As the book starts to dive deeper into VaR, the ideas quickly become disjointed, incoherent and difficult to follow - I have a mathematical background, but it is very frustrating to have to read repeatedly to try and decipher entire sections of the book, especially the whole chapter on backtesting.
		While VaR as a concept is easy to grasp, the devil is very largely in the details, which this book fails to present in any organized way.
		As these firms change themselves, their need for risk measurement and management has also increased which in turn has driven the advances and increased focus on Value at Risk type concepts during this time.
	www.amazon.com /exec/obidos/tg/detail/-/0071355022?v=glance (2061 words)

	Incorporating event risk into value-at-risk
		Event risk is the risk that a portfolio's value can be affected by large jumps in market prices.
		Event risk is one component of "specific risk", defined by bank supervisors as the component of market risk not driven by market-wide shocks.
		The effect is to "fatten" the tails of the distribution of portfolio returns that is used to estimate VaR, thus increasing VaR.
	ideas.repec.org /p/fip/fedgfe/2001-17.html (431 words)

	Value At Risk Training for Paradigm Stradegy Group, Inc.
		Value At Risk Training for Paradigm Stradegy Group, Inc.
		The VaR course introduces participants to this important new concept in measuring firm wide risk exposure.
		It also identifies examples of the context in which banks and their clients are using VaR in their business decisions and discusses the impact of VaR in selling existing banking products.
	www.paradigmtraining.com /valueatrisk.htm (246 words)

	Intraday Value-At-Risk (ResearchIndex) (Site not responding. Last check: 2007-11-07)
		Abstract: In this paper, we apply a collection of parametric (Normal, Normal GARCH, StudentGARCH, RiskMetrics and high-frequency duration models) and non-parametric (empirical quantile, extreme distributions models) Value-at-Risk (VaR) techniques to intraday data for three stocks traded on the New York Stock Exchange.
		Because of the small time horizon of the intraday returns (15 and 30 minute returns), intraday VaR can be useful to market participants (traders, market makers) involved in frequent...
		14 Techniques for verifying the accuracy of risk measurement mo..
	citeseer.ist.psu.edu /432865.html (388 words)

	UNICOM Seminars - UNICOM Seminars' is a specialist provider of business to business communication products and services. (Site not responding. Last check: 2007-11-07)
		Value at risk has become the market standard for measuring, managing and reporting market risk.
		Its influence has recently spread into the domain of credit risk as well and is making some significant inroads in that arena.
		To view the schedule of the programme, please click here
	unicom.co.uk /events/event_details.asp?productid=1222&catid=1&subcatid= (93 words)

	- SHOP.COM
		They are fun and can even be ordered on Christmas Day!
		Value-At-Risk, Theory and Practice This book will provide the theoretical and practical descriptions underlying VAR, a general measure of risk across asset categories and sources of market risk.
		You might try modifying your search term or selecting one of the department links below.
	www.shop.com /op/aprod-p27983034 (199 words)

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