September 2012
Beginner
328 pages
7h 42m
English
Content preview from Key Financial Market Concepts, 2nd Edition
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Value at Risk (VaR)
Definition
Value at risk (VaR) is the maximum potential loss which a bank expects to suffer on its positions over a given time period, estimated with a given confidence level.
How is it used?
In order to control market risk, a bank needs to be in a position to measure it. Banks have therefore increasingly developed computer models with a view to deriving an overall measurement of the bank’s market risk – value at risk (VaR) or earnings at risk. For any given probability distribution, it is possible to estimate what is the probability of any particular number being greater than, or less than, a particular level. In financial risk management, this translates into being able to estimate the probability of a profit or loss being ...
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