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Value at Risk
(redirected from Value-at-Risk)

    Also found in: Wikipedia 0.01 sec.
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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com/), a supplier of information technology-based tools and strategic consulting services to handle the procurement and management of energy supply used by businesses, today introduced its new PowerProjector(TM) cost projection and value-at-risk analysis tool designed to help financial executives more accurately project their regulated and deregulated energy supply costs (natural gas and electricity needed to power their businesses).
EnergyWindow(R) Introduces PowerProjector(TM): A Robust, New Energy ... by PR Newswire
We find that for an explicitly specified confidence level, the Value-at-Risk satisfies the regulator's condition and is the "most efficient" capital requirement in the sense that it minimizes some reasonable cost function.
Can a coherent risk measure be too subadditive? by Dhaene, J.; Laeven, R.J.A.; Vanduffel, S.; Darkiewicz, G.; Goovaerts, M.J. / Journal of Risk and Insurance
In particular, the capital requirement for general market risk is based on the output of banks' internal value-at-risk models, calibrated to a common supervisory standard.
What market risk capital reporting tells us about bank risk by Hirtle, Beverly J. / Federal Reserve Bank of New York Economic Policy Review
 
 
 
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