Thoughts on VaR and CVaR
نویسنده
چکیده
Value at Risk (VaR) is an important issue for banks since its adoption as a primary risk metric in the Basel Accords and the requirement that it is calculated on a daily basis. VaR calculates maximum expected losses over a given time period at a given tolerance level. Conditional Value at Risk (CVaR) measures extreme risk. It calculates the risk beyond VaR. Relative industry risk measurement is also very important to Banks in their management of risk, such as for setting risk concentration limits and developing investment and credit policy.
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