VaR Noise

Martin Auer
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Martin Auer: Raiffeisen Bank International

Chapter 14 in Hands-On Value-at-Risk and Expected Shortfall, 2018, pp 69-72 from Springer

Abstract: Abstract Having examined the static properties of the VaR, we now look into its dynamic behavior over time. As new positions are entered or old ones closed, and as the volatilities of the assets involved change, the VaR, recalculated every day, will change as well. Often, such VaR changes and their reasons are of more interest in risk management than the level of the VaR itself.

Keywords: Estimate Vol; Monte Carlo Error; Infinite Scenarios; Local Variance Estimation; Constant Portfolio (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:spr:mgmchp:978-3-319-72320-4_14

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DOI: 10.1007/978-3-319-72320-4_14

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