Methodology Concerning the Utilization of the Value at Risk

Gabriela-Victoria Anghelache, Andreea NEGRU (ciobanu) and Lorand Kralik
Additional contact information
Gabriela-Victoria Anghelache: Academy of Economic Studies, Bucharest
Andreea NEGRU (ciobanu): Academy of Economic Studies, Bucharest

Romanian Statistical Review Supplement, 2012, vol. 60, issue 4, 162-169

Abstract: The value at risk (VaR) represents an estimate, at a certain level of probability and under normal conditions of the market, for the maximal level of value loss that may be recorded by a portfolio of financial assets over an established time horizon. Originally, the VaR methodology has been used by the banks for internal purposes but it acquired an increasing significance after the amendment brought in 1996 to the Basel I Agreement, the surveying authorities encouraging the banks to apply the VaR. The main characteristic of the VaR model consists of the emphasize which it put on the expected losses as a result of the volatility of the market value of the financial assets, and not on the losses generated by the gains volatility.

Keywords: value at risk; financial assets; portfolio yields; models; confidence probability (search for similar items in EconPapers)
JEL-codes: G32 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.revistadestatistica.ro/suplimente/2012/4/srrs4_2012a25.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rsr:supplm:v:60:y:2012:i:4:p:162-169

Access Statistics for this article

More articles in Romanian Statistical Review Supplement from Romanian Statistical Review Contact information at EDIRC.
Bibliographic data for series maintained by Adrian Visoiu ().