Calculating Value at Risk – Approach Specific Steps
5 mins read Calculating Variance-Covariance (VCV) Value at Risk (VaR) This method assumes that the daily returns follow a normal distribution. From the
5 mins read Calculating Variance-Covariance (VCV) Value at Risk (VaR) This method assumes that the daily returns follow a normal distribution. From the
4 mins read Methodology Setting the Scene Sample Portfolio Our sample portfolio that we will use for calculating Value at Risk (VaR) consists
4 mins read All methods have a common base but then diverge in how they actually calculate Value at Risk (VaR). They also have a common problem in assuming that the future will follow the past. This shortcoming is normally addressed by supplementing any VAR figures with appropriate sensitivity analysis and/or stress testing. In general the VAR calculation follows five steps
2 mins read One of the most pertinent questions in risk management has been: How much do you stand to lose, over a