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Martin Auer
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Martin Auer: Raiffeisen Bank International

Chapter 15 in Hands-On Value-at-Risk and Expected Shortfall, 2018, pp 73-76 from Springer

Abstract: Abstract The VaR model estimates tomorrow’s PnL behavior by projecting plausible asset returns from these assets’ recent history. The next day, specific assets returns will materialize, as will a corresponding actual PnL. To compute it, we merely have to price our positions under two scenarios—the market scenario used for the VaR calculation and that of the following day.

Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:spr:mgmchp:978-3-319-72320-4_15

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DOI: 10.1007/978-3-319-72320-4_15

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