Scope and Workflow

Martin Auer
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Martin Auer: Raiffeisen Bank International

Chapter 19 in Hands-On Value-at-Risk and Expected Shortfall, 2018, pp 103-108 from Springer

Abstract: Abstract In a practical market risk system, we need to calculate several risk measures on a daily basis. Let’s briefly describe this target scope first. We, of course, want to determine the VaR for our main portfolios and to provide corresponding backtesting results. As support, we also calculate several partial VaRs (each with their own backtesting). In addition, we calculate the stressed VaR (without backtesting) as well as sensitivities and stress tests.

Keywords: Main Portfolio; Backtesting Results; Target Scope; Auxiliary Model Parametrizations; Monte Carlo Modification (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_19

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DOI: 10.1007/978-3-319-72320-4_19

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