Ch14ValueatRisk〔金融工程–华东师范大学汤银才〕.pptVIP

Value at Risk Chapter 14 The Question Being Asked in Value at Risk (VaR) 揥hat loss level is such that we are X% confident it will not be exceeded in N business days?? Meaning is Probability (1-a) % a% Za VaR and Regulatory Capital Regulators require banks to keep capital for market risk equal to the average of VaR estimates for past 60 trading days using X=99 and N=10, times a multiplication factor. (Usually the multiplication factor equals 3) Advantages of VaR It captures an important aspect of risk in a single number It is easy to understand It asks the simple question: 揌ow