Abstract
The Value-at-Risk (VaR) is probably the most known measure for quantifying and controlling the risk of a portfolio. The establishment of the VaR is of central importance for a credit institute, since it is the basis for a regulatory notification technique and for required equity investments. The description of risk is done with the help of an “internal model”, whose job is to reflect the market risk of portfolios and similar risky investments over time. This often occurs though the choice of suitable portfolios of a specific risk factor, i.e., through principal components analysis (Chapter 19). With risks from option trading a linear transformation is often applied using the “Greeks” (Chapter 6).
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© 2004 Springer-Verlag Berlin Heidelberg
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Franke, J., Härdle, W., Hafner, C.M. (2004). Value at Risk and Backtesting. In: Statistics of Financial Markets. Universitext. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-10026-4_15
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DOI: https://doi.org/10.1007/978-3-662-10026-4_15
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