Add to ORKGIn 1993, the Bank for International Settlements (BIS) proposed a method by which financial market risk would be charged. The proposed methodology proved to be so unpopular that that it galvanized the trading community into trying to find a common measurement standard to measure market risk. In 1994, with the publication of the RiskMetrics Technical Document, J.P.Morgan gave the world their vision of how market risk should be managed and value-at-risk (VAR) soon became a huge success. In April 1995, the BIS formally adopted VAR as the template for calculating market risk capital. Over the four to five years that followed, market risk and VAR were on every bank's agenda.Master of Scienc
Value-at-risk (VaR) is a measure of market risk that has been widely adopted since the mid-1990s for...
If the Black-Scholes model and its extensions were the discoveries of the 70s and 80s, then Value-at...
In both financial theory and practice, Value-at-risk (VaR) has become the predominant risk measure i...
Until just a few years ago risk management was a “desert shore, which never yet saw navigate its wat...
In its most general form, risk can he defined as the possibility an outcome will differ from expecta...
The paper investigates the internal methods of assessing exposure to credit risk and the possib...
In this article we discuss one of the modern risk measuring techniques Value-at-Risk (VaR). Currentl...
Banking institutions encounter two broad types of risks in their everyday business – credit risk and...
This paper discusses the various aspects of Value-at-Risk (VaR) and the VaR-based risk management pr...
According to the prescriptions of the Basle Committee on Banking Supervision, as from the end of 199...
This paper decomposes the popular risk measure Value-at-Risk (VaR) into one jump- and one continuous...
In this study some of the most commonly used methods by banks whenestimating the Value-at-risk (VaR)...
textabstractThe Basel II Accord requires that banks and other Authorized Deposit-taking Institutions...
Value-at-risk (VaR) is a measure of market risk that has been widely adopted since the mid-1990s for...
If the Black-Scholes model and its extensions were the discoveries of the 70s and 80s, then Value-at...
In both financial theory and practice, Value-at-risk (VaR) has become the predominant risk measure i...
Until just a few years ago risk management was a “desert shore, which never yet saw navigate its wat...
In its most general form, risk can he defined as the possibility an outcome will differ from expecta...
The paper investigates the internal methods of assessing exposure to credit risk and the possib...
In this article we discuss one of the modern risk measuring techniques Value-at-Risk (VaR). Currentl...
Banking institutions encounter two broad types of risks in their everyday business – credit risk and...
This paper discusses the various aspects of Value-at-Risk (VaR) and the VaR-based risk management pr...
According to the prescriptions of the Basle Committee on Banking Supervision, as from the end of 199...
This paper decomposes the popular risk measure Value-at-Risk (VaR) into one jump- and one continuous...
In this study some of the most commonly used methods by banks whenestimating the Value-at-risk (VaR)...
textabstractThe Basel II Accord requires that banks and other Authorized Deposit-taking Institutions...
Value-at-risk (VaR) is a measure of market risk that has been widely adopted since the mid-1990s for...
If the Black-Scholes model and its extensions were the discoveries of the 70s and 80s, then Value-at...
In both financial theory and practice, Value-at-risk (VaR) has become the predominant risk measure i...