Value-at-Risk and Credit VaR

Moorad Choudhry, Didier Joannas, Gino Landuyt, Richard Pereira and Rod Pienaar
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Moorad Choudhry: Europe Arad Bank plc
Didier Joannas: Thomson Reuters-Risk in North Asia
Gino Landuyt: Europe Arad Bank plc
Rod Pienaar: UBS AG prime services

Chapter 23 in Capital Market Instruments, 2010, pp 457-488 from Palgrave Macmillan

Abstract: Abstract In this chapter we review the main market risk measurement tool used in banking, known as value-at-risk (VaR). The review looks at the three main methodologies used to calculate VaR, as well as some of the key assumptions used in the calculations, including those on the normal distribution of returns, volatility levels and correlations. We also discuss the use of the VaR methodology with respect to credit risk.

Keywords: Cash Flow; Risk Measurement; Credit Risk; Credit Rating; Market Risk (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-0-230-27938-4_23

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DOI: 10.1057/9780230279384_23

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