Measuring and managing market, credit and Op risk [17]

Go to: Summary | Previous | Next   
Bullet points include: VaR is the (1-alpha) quantile of loss distribution Often estimated using statistical methods based on historical returns/losses Often, though, we will want VaRs for annual holding periods Historical data often not available at this frequency, or may be deemed out-of-date Include market-implied risk modelling components, see e.g. Kemp (2005) and Kemp (2009)? Mimic evolution of value of individual assets (and liabilities) and then aggregate to get portfolio statistics such as VaR and TVaR May require use of Monte Carlo methods and pricing algorithms

Contents | Prev | Next | ERM Lecture Series

Desktop view | Switch to Mobile