April 2019
Intermediate to advanced
416 pages
14h 19m
English
Content preview from Corporate Risk Management
Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.
CHAPTER 5Value at Risk
The main role of value at risk (VaR) is to provide summary information on the risk of a firm, a portfolio, or a stock. This information is generally given to a firm's top management or to a portfolio manager or stockholder. It may also be used by regulatory agencies.
Some managers wish to be informed of their firm's VaR at 4:30 p.m. daily, while others would rather be given this information on Friday afternoons. Regulatory agencies require the banks that calculate their market risk using an internal method to transmit their market VaR every two weeks (or 10 business days). However, market risk VaR is now replaced by CVaR for Basel market risk regulation. This does not mean that the VaR is becoming useless. In fact, it is still very useful for backtesting the CVaR (Fortin, Simonato, and Dionne, 2018).
VaR is the maximum loss calculated for a given time period at a certain confidence level. It contains a time component (intraday, daily, weekly, monthly, or even annually for credit risk), and takes into account the opinion of a firm's management or of a portfolio holder to set the confidence level. The more conservative the opinion, the greater the required confidence level and the higher the VaR.
For many years, VaR was the most popular method used to measure market risk. However, this measurement focuses on the minimization of variance, which contradicts the model suggested in Stulz's (1996) article. Stulz suggests that we should instead focus on minimizing ...
Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
and much more.
Read now
Unlock full access
More than 5,000 organizations count on O’Reilly
O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.Julian F.
I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.Addison B.
I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.Amir M.
I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.