Value-at-Risk and Credit VaR
In this chapter we review the main market risk measurement tool used in banking, known as value-at-risk (VaR). The review looks at the three main methodologies used to calculate VaR, as well as some of the key assumptions used in the calculations, including those on the normal distribution of returns, volatility levels and correlations. We also discuss the use of the VaR methodology with respect to credit risk.
KeywordsMigration Covariance Income Volatility Defend
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- JPMorgan, Introduction to Credietrics™, JPMorgan & Co., 1997.Google Scholar