Value at Risk and Mutual Funds

Raj S. Dhankar ()
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Raj S. Dhankar: University of Delhi

Chapter Chapter 18 in Risk-Return Relationship and Portfolio Management, 2019, pp 279-291 from Springer

Abstract: Abstract G-30, Basel Committee on Banking Supervision, Bank of International Settlements and most Central Banks across the globe have endorsed Value at RiskValue at Risk (VaR) (VaR) as a standard for measuring riskRisk . Though VaRValue at Risk (VaR) is widely accepted as a true measure of riskRisk for the banking industry, it is yet to find enough acceptance in the investment industry. VaRValue at Risk (VaR) reporting on a periodic basis could help investors in better understanding of risks of loss to their investments. We have tried to review different methods of estimating VaRValue at Risk (VaR) , and their applications. Many variants of VaRValue at Risk (VaR) propagated by researchers seem to work in patches. RiskRisk Metrics developed by J. P. Morgan, which uses exponentially weighted moving average (EWMA) method, has become a standard tool for VaRValue at Risk (VaR) estimation. Till the time another more effective method is developed, VaRValue at Risk (VaR) is likely to continue attracting a lot of interest.

Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:spr:isbchp:978-81-322-3950-5_18

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DOI: 10.1007/978-81-322-3950-5_18

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