Soundness of Market Risks Measurement techniques During Global Financial Turmoil

Vladimir Mirkovic

Ekonomika, Journal for Economic Theory and Practice and Social Issues, 2013, vol. 59, issue 01

Abstract: Value-at-Risk (VaR) is one of the most popular tools used to estimate exposure to market risk and it measures the worst expected loss at a given level of confidence. This paper explains the main characheristics of the VaR concept, as well as, its advantages and limitations. Global financial turmoil changed the whole financial system worldwide and put under the question mark usefulness of market risk techniques. This paper intent to give some frameworks and opinion regarding crucial point impersonate in question: can we blame VaR and other market risk tools for financial turmoil and do they work well during financial crisis? The purpose of paper is presentation of market risk tools to risk management professionals and their possible usefulness in daily operations.

Keywords: Financial; Economics (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:ags:sereko:288658

DOI: 10.22004/ag.econ.288658

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