Value at Risk

Tomas Cipra ()
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Tomas Cipra: Charles University, Faculty of Mathematics and Physics

Chapter Chapter 11 in Time Series in Economics and Finance, 2020, pp 267-301 from Springer

Abstract: Abstract Methodology VaR (value at risk) and its modifications are usual measures of risk in practice (e.g., it is one of the best used approaches to set up capital requirements when regulating capital adequacy in so-called internal models of banks). More generally, VaR is the key instrument for financial risk management, e.g., by means of commercial systems of the type RiskMetrics. This topic is included in the presented text since some methods of VaR construction make use of the analysis of financial time series.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-46347-2_11

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DOI: 10.1007/978-3-030-46347-2_11

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