August 2007
Intermediate to advanced
408 pages
11h 53m
English
Content preview from Strategic Risk Taking: A Framework for Risk ManagementBecome 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,
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Chapter 7. Value at Risk (VaR)
What is the most I can lose on this investment? This is a question that almost every investor who has invested or is considering investing in a risky asset asks at some point in time. Value at risk (VaR) tries to provide an answer, at least within a reasonable bound. In fact, it is misleading to consider VaR to be an alternative to risk-adjusted value and probabilistic approaches. After all, it borrows liberally from both. However, the wide use of VaR as a tool for risk assessment—especially in financial service firms—and the extensive literature that has developed around it push us to dedicate this chapter to its examination.
We begin this chapter with a general description of VaR and the view of risk that underlies ...
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