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Value at Risk - Statistical Background by Niko Naraubhaya is a document available to read on EtoBox.

What is Value at Risk - Statistical Background about?

The document provides a comprehensive overview of Value at Risk (VaR), defining it as the 100p-th percentile of a random variable X, with practical applications for normal, lognormal, and Pareto distributions. It includes examples demonstrating how to calculate VaR for different distributions and emphasizes the importance of sample size when estimating VaR from data. Additionally, it discusses the implications of VaR in risk management and capital requirements.

Author

Niko Naraubhaya

Language

EN