Naslov
Value at Risk Models for Risk Management

Autori
Mujačević, Elvis ; Ivanović, Vanja

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Izvornik
Management Knowledge and EU / - Portorož, 2004, 225-233

Skup
23rd International Scientific Conference on Organizational Science Development

Mjesto i datum
Portorož, Slovenija, 24.04.2004. - 26.04.2004

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
Value at Risk; risk management; derivatives; stress test.

Sažetak
Since the past decade or so no other tool in financial riska management has been heard about as much as Value at Risk (VaR) modelling. VaR has rapidly become the industry standard for measuring and reporting market risk in trading portfolios of banks and other trading institutions. VaR provides an upper bound on the potential loss due to adverse market fluctuations. Any VaR number has to specify which portfolio is being considered (e.g. Equity Derivatives Book) the confidence level (e.g. 97.5%) and the holding periood (e.g. 10 days). VaR objectivly tries to combine the sensitivity of the portfolio to market changes and the probability of a given market change. VaR has been Adopted by the Basel comitee to set the standard for the minimum amount of capital to be held against market risks. VaR ca be used to estimate risk in the case of various financial instruments including bonds, equities and derivatives. VaR can be used to communicate risk and control risk by setting limits for frontline traders and operating managers.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA