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Value at Risk
Company: Review Bankpedia
Year Of Publication: 2013
Month Of Publication: December
Resource Link: Click here to open
Pages: 6
Download Count: 0
View Count: 1241
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 7-19-2014
Publisher: Administrator
Summary
The Value at risk (VaR) measure the risk of loss associated to financial assets. For a given time period (normally ranging from 1 to 10 years) and a with a given probability confidence (generally equal to 95 or 99%); this measure represents the maximum loss the investor can suffer when holding financial assets. The time horizon used to calculate the VaR depends on the investment duration; the value at risk is used to compute the minimum capital requirements necessary to compensate losses resulting from market risk, according to the BIS banking regulation.
(volume 3, number 2)
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Author(s)
Michetti, Melania Sign in to follow this author
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