By Kevin Dowd
This booklet presents an advent to price in danger (VaR) and anticipated tail loss (ETL) estimation and is a student-oriented model of Measuring industry Risk (John Wiley & Sons 2002).
An advent to marketplace threat Measurement contains insurance of:
- Parametric and non-parametric possibility estimation
- Numerical equipment
- Liquidity dangers
- Risk Decomposition and Budgeting
- Stress checking out
- Model danger
Read or Download An Introduction to Market Risk Measurement (The Wiley Finance Series) PDF
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Extra info for An Introduction to Market Risk Measurement (The Wiley Finance Series)
6, which shows the corresponding VaR at the 99% level of conﬁdence. In this case, the VaR is determined by the cut-off between the top 99% and the bottom 1% of observations, so we are dealing with a 1% tail rather than the earlier 5% tail. 326. The higher conﬁdence level means a smaller tail, a cut-off point further to the left and, therefore, a higher VaR. 7), which shows 6 Strictly speaking, the VaR is non-decreasing with the conﬁdence level, which means that the VaR can remain the same as cl rises.
2 Attractions of VaR So what is VaR, and why is it important? The basic concept was nicely described by Linsmeier and Pearson (1996): Value at risk is a single, summary, statistical measure of possible portfolio losses. Speciﬁcally, value at risk is a measure of losses due to ‘normal’ market movements. Losses greater than the value at risk are suffered only with a speciﬁed small probability. Subject to the simplifying assumptions used in its calculation, value at risk aggregates all of the risks in a portfolio into a single number suitable for use in the boardroom, reporting to regulators, or disclosure in an annual report.
37)). These are serious criticisms, and they are not easy to counter. Another problem was pointed out by Ju and Pearson (1999): if VaR measures are used to control or remunerate risk taking, traders will have an incentive to seek out positions where risk is over- or underestimated and trade them. They will therefore take on more risk than suggested by VaR estimates — so our VaR estimates will be biased downwards — and their empirical evidence suggests that the magnitude of these underestimates can be very substantial.
An Introduction to Market Risk Measurement (The Wiley Finance Series) by Kevin Dowd