Learn how to calculate Value at Risk (VaR) to effectively assess financial risks in portfolios, using historical, variance-covariance, and Monte Carlo methods.

Consider a credit portfolio that consists of default-sensitive instru¬ments such as lines of credit, corporate bonds, and government bonds. The corresponding credit value-at-risk (VaR), is the minimum ...

ABSTRACT This paper studies the approximation of extreme quantiles of random sums of heavy-tailed random variables, or, more specifically, subexponential random variables. A key application of this ...

Stock size, liquidity, and value at risk (VAR) can explain the cross-sectional variation in expected returns, but market beta and total volatility have almost no power to capture the cross-section of ...

ABSTRACT Using stock data that covers the period from April 6, 2001 to June 17, 2009, including data for the recent crisis period, we perform value-at-risk (VaR) risk model validation by backtesting ...

François Longin, Value at Risk: Une nouvelle approche fondée sur les valeurs extrêmes, Annales d'Économie et de Statistique, No. 52 (Oct. - Dec., 1998), pp. 23-51 ...

Friday's sharp drop in US futures, plunging Amazon shares, and hurtling market caps reflect rising uncertainties. With $2 trillion in value at risk, markets may remain choppy as they enter next ...