Introduction to VaR (Value-at-Risk)
نویسنده
چکیده
The concept of Value-at-Risk is described. We discuss how this risk characteristic can be used for supervision and for internal control. Several parametric and non-parametric methods to measure Value-at-Risk are discussed. The non-parametric approach is represented by historical simulations and Monte-Carlo methods. Variance covariance and some analytical models are used to demonstrate the parametric approach. Finally, we briefly discuss the backtesting procedure.
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