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Understanding Value-at-Risk (VaR) by Tyler Cantarano is a document available to read on EtoBox.

What is Understanding Value-at-Risk (VaR) about?

This document provides an overview of value-at-risk (VaR) - a method for measuring investment risk. It discusses the historical and parametric methods for calculating VaR using historical data and probability distributions. VaR measures the maximum potential loss over a set time period at a given confidence level. The document also covers portfolio VaR calculation, the history and use of VaR in risk management, limitations of VaR, and developments in conditional VaR and historical testing of VaR breaks.

Author

Tyler Cantarano

Language

EN