The value at risk (VaR) measures the risk of loss associated to financial assets. For a given time period (normally ranging from 1 to 10 days), and with a given prob-ability confidence (generally equal to 95% or 99%); this measure represents the maximum loss the investor can suffer when holding financial assets. The time hori-zon 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.
Michetti, M. (2013). VALUE AT RISK (VaR). BANKPEDIA REVIEW, 3, 19-24 [10.14612/MICHETTI_2_2013].
VALUE AT RISK (VaR)
MICHETTI, MELANIA
2013
Abstract
The value at risk (VaR) measures the risk of loss associated to financial assets. For a given time period (normally ranging from 1 to 10 days), and with a given prob-ability confidence (generally equal to 95% or 99%); this measure represents the maximum loss the investor can suffer when holding financial assets. The time hori-zon 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.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
