Value at Risk

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Value at Risk

In risk analysis, a method to measure the probability of loss on an investment. One calculates the value at risk by measuring the historical trends and volatility of the investment. The method is used most often by investors in highly volatile commodities, such as energy products.
References in periodicals archive ?
Zangari analyzed possibilities of using the properties of distributions other than the normal distribution to calculate the value-at-risk.
The range of topics in this well-researched and well-written book include optimizing value-at-risk and daily capital charges, managing value at risk under the Basel II Accord, sovereign insolvency procedures, collective action clauses in international sovereign bond contracts, a review of empirical studies on collateral and credit rationing, and capital requirements, business cycle fluctuations, and the Basel Accords.
After introducing Value-at-Risk and briefly reviewing the related literature, VaR is examined in the context of a corporate purchasing department of a commodity end user.
Third, these value-at-risk measures for different domains can be combined to measure the value at risk for the firm as a whole.
Tracking the evolution of risk management, significant improvements have developed in quantitative techniques, such as Value-at-Risk (VaR) measures.
The Cost of Conservatism: Extreme Value Returns, Value-at-Risk, and the Basle `Multiplication Factor.
The capital requirements for general market risk are based on the output of a bank's internal value-at-risk model, calibrated to a common supervisory standard.
Value-at-risk models aggregate the several components of price risk into a single quantitative measure of the potential for losses over a specified time horizon.

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