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What is Overview of Value at Risk (VaR) Analysis about?

This document provides an overview of value at risk (VaR) for measuring market risk of financial firms. It discusses how VaR is used to measure potential losses over a time horizon (such as 2 weeks) at a given confidence level (such as 99%). It explains that VaR provides a benchmark to compare relative risks of different trading desks, portfolios, trades, volatility environments, and modeled versus historical risks. However, VaR should not be considered the level of capital needed to sustain a firm, as pote

Author

Yuri Santos

Language

EN