Value-at-risk : ανασκόπηση
Λυσιμάχου, Περσεφόνη Τ.
SubjectΔιαχείριση κινδύνου ; Διαχείριση κινδύνου -- Οικονομετρικά μοντέλα ; Διαχείριση κινδύνου -- Στατιστικές μέθοδοι
Financial risks are related to the volatility of the market, a complicated movement of various economic variables, and may cause either loss or profit. The possibility of loss led to the quantification of risk, an indispensable instrument for financial organizations in order to ensure the capital adequacy required to absorb an unexpected amount of loss. Value at Risk (VaR) is a method to measure the exposure to financial risks, which estimates the worst expected loss at a given confidence level over a certain time period. In this paper, we introduce the concept of VaR, and then we describe the most popular methods of VaR computation such as the Delta-Normal approach, the Historical Simulation and the Monte Carlo Simulation. Furthermore, we present some VaR tools that are particularly useful for risk management, including relative VaR, marginal VaR, incremental VaR and component VaR. Finally, we use a back testing method to validate the estimation of VaR.