Value at Risk

David L. Olson () and Desheng Wu ()
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David L. Olson: University of Nebraska
Desheng Wu: University of Toronto

Chapter Chapter 10 in Enterprise Risk Management Models, 2010, pp 131-141 from Springer

Abstract: Abstract Value at risk (VaR) is one of the most widely used models in risk management. It is based on probability and statistics. VaR can be characterized as a maximum expected loss, given some time horizon and within a given confidence interval. Its utility is in providing a measure of risk that illustrates the risk inherent in a portfolio with multiple risk factors, such as portfolios held by large banks, which are diversified across many risk factors and product types. VaR is used to estimate the boundaries of risk for a portfolio over a given time period, for an assumed probability distribution of market performance. The purpose is to diagnose risk exposure.

Keywords: Cash Flow; Credit Spread; Spot Market; Historical Simulation; Basel Committee (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-11474-8_10

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DOI: 10.1007/978-3-642-11474-8_10

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