Value at Risk Models for Risk Management (CROSBI ID 504274)
Prilog sa skupa u zborniku | izvorni znanstveni rad | međunarodna recenzija
Podaci o odgovornosti
Mujačević, Elvis ; Ivanović, Vanja
engleski
Value at Risk Models for Risk Management
Since the past decade or so no other tool in financial riska management has been heard about as much as Value at Risk (VaR) modelling. VaR has rapidly become the industry standard for measuring and reporting market risk in trading portfolios of banks and other trading institutions. VaR provides an upper bound on the potential loss due to adverse market fluctuations. Any VaR number has to specify which portfolio is being considered (e.g. Equity Derivatives Book) the confidence level (e.g. 97.5%) and the holding periood (e.g. 10 days). VaR objectivly tries to combine the sensitivity of the portfolio to market changes and the probability of a given market change. VaR has been Adopted by the Basel comitee to set the standard for the minimum amount of capital to be held against market risks. VaR ca be used to estimate risk in the case of various financial instruments including bonds, equities and derivatives. VaR can be used to communicate risk and control risk by setting limits for frontline traders and operating managers.
Value at Risk; risk management; derivatives; stress test.
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Podaci o prilogu
225-233-x.
2004.
objavljeno
Podaci o matičnoj publikaciji
Management Knowledge and EU
Portorož:
Podaci o skupu
23rd International Scientific Conference on Organizational Science Development
predavanje
24.03.2004-26.03.2004
Portorož, Slovenija