Calculating Value at Risk – Data & Return Series
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 Methodology Setting the Scene Sample Portfolio Our sample portfolio that we will use for calculating Value at Risk (VaR) consists
2 mins read One of the most pertinent questions in risk management has been: How much do you stand to lose, over a
5 mins read Risk models only have value if they are used effectively in combination with limit management and control process. While a
6 mins read This paper presents an extension of well accepted risk models in the financial services space to the risk management needs of the oil, gas and petrochemical industry in the region. We primarily extend the Value at Risk (VaR) framework and apply it to estimating refinery margins and inventory losses using crude oil price volatility as an input.
3 mins read Good Data and a first look at models The second element in our list deals with data and models. While
4 mins read A policy document identifies roles, responsibilities and occasionally the outline of a process to review, set and evaluate limits. It