16
Value-at-risk
LEARNING OBJECTIVES
After completing this chapter, you will be able to answer the following questions:
- What is meant by value-at-risk?
- How to calculate the value-at-risk measure?
- What are the uses of value-at-risk measure?
- What are the advantages in using value-at-rsk measures?
- What are the limitations in using value-at-risk measures?
BOX 16.1 Breaches in Value-at-risk Limit
HSBC Holdings Plc is one of the large players in gold trading in the world. In its quarterly filing ended March 2020, it announced that it repeatedly breached its trading limits based on value-at-risk estimates because of the conditions in the gold market during the global lockdown in March. It breached the value-at-risk limits 12 times in March 2020 ...
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