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.
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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.
Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the Market Risk Analysis four volume set.
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.
It will present the fundamentals of quantitative risk measures by analysing the range of Value-at-Risk (VaR) models used today, addressing the robustness of each model, and looking at new risk measures available to more effectively manage risk in a hedge fund portfolio.
com/reports/c68647) has announced the addition of The Value-at-Risk Reference - Key Issues in the Implementation of Market Risk to their offering.
It also plans to use KVAR to calculate and report cross asset class value-at-risk (VAR) on their positions held in the Kondor+ system.
The iGAP strategy is employed using a well diversified and disciplined value-at-risk modeling approach, and more importantly, has successfully generated positive return (alpha) in each of the last 6 calendar years," added Axtell.

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