Historical Value-at-Risk

Martin Auer
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Martin Auer: Raiffeisen Bank International

Chapter 4 in Hands-On Value-at-Risk and Expected Shortfall, 2018, pp 21-26 from Springer

Abstract: Abstract One main concern of market risk management is to guess the plausible future behavior of a portfolio’s value. There are two main parts to this: 1. Estimate asset price movements: compute returns and generate scenarios. 2. Determine the impact of those movements on the positions’ values and distill portfolio risk measures: price positions, aggregate results, and summarize.

Date: 2018
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DOI: 10.1007/978-3-319-72320-4_4

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