Value‐at‐risk concept by Swiss private banks

Andrey Rogachev

Journal of Risk Finance, 2007, vol. 8, issue 1, 72-78

Abstract: Purpose - The purpose of this paper is to consider the problem of using the Value‐at‐Risk (VaR) technique and examine its practical implementation by Swiss Private Banks. Design/methodology/approach - The paper is based on a survey originally undertaken in 2003 and updated in 2005. The research results provide details on how asset and portfolio managers understand and apply VaR methodology in their daily business. Findings - From the banks' perspectives, VaR has both positive and negative points. It is like a common denominator for various risks. The reason is that VaR is used by portfolio managers as comparable risk measurement across different asset classes and business lines. Originality/value - This analysis shows how banks can implement VaR concept more effectively through its practical implementation areas in: portfolio management decisions and asset allocation; the “what‐if” modeling of candidate traders; and measuring and monitoring market risk.

Keywords: Value analysis; Banks; Risk analysis; Asset management; Financial risk; Switzerland (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:eme:jrfpps:15265940710721091

DOI: 10.1108/15265940710721091

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