February 2007
Intermediate to advanced
280 pages
15h 37m
English
Content preview from Value at Risk and Bank Capital Management
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194 CHAPTER
♦
7 Value at Risk and Risk Control for Market and Credit Risk
obviously support dynamic management of trading limits by the head of the trading units
or decisions by a market risk management committee about authorizations for temporarily
exceeding limits.
In the case of credit risk, the use of VaR to support risk control is different, but it can
also be very important. First of all, autonomy limits defi ning at which hierarchical level
a credit can fi nally be approved can be defi ned in terms of VaR or (more frequently) of
the expected loss of the loan rather than in terms of its size, as typically happened in the
past. Second, r ...
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