A Review and Update of Value at Risk

D. Maxwell and G. van Vuuren

Studies in Economics and Econometrics, 2014, vol. 38, issue 3, 79-102

Abstract: Large bank losses in the mid-1980s resulted in financial risk management - as a distinct professional activity - becoming increasingly important. Several statistical techniques have since evolved to measure and manage market risk, of which Value at Risk (VaR) remains highly popular. Even the recently (2013) proposed expected shortfall metric by the Basel Committee still requires VaR as benchmark. No universally-accepted method exists for VaR's calculation, but the technique remains widely used. This article reviews several computational variations of VaR, as well as assessing some assumptions employed by each model. Finally, each variations performance is measured at various confidence levels using equity portfolios in two different financial milieus and periods of market volatility.

Date: 2014
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/10800379.2014.12097273 (text/html)
Access to full text is restricted to subscribers.

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:taf:rseexx:v:38:y:2014:i:3:p:79-102

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/rsee20

DOI: 10.1080/10800379.2014.12097273

Access Statistics for this article

Studies in Economics and Econometrics is currently edited by Willem Bester

More articles in Studies in Economics and Econometrics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().