Tag Archives: VaR
When discussing PnL VaR, we refer to the implication profit and loss calculations of an enterprise, mostly financial institutions, on its value at risk measures. This data is used to provide an estimate of the amount of economic capital the …Read more
One of the major challenges in the management and measurement of risk that many financial institutions face is finding a coherent approach to value at risk aggregation. Some of the drivers behind this challenge are developments in regulatory standards and …Read more
Value at Risk (VaR) is a general tool for assessing market risk; it measures the worst expected loss over a given horizon under normal market conditions at a given level of confidence. CVaR value at risk is the most common …Read more
In the previous post, we described the VaR demo and its cube structure. This post describes the different measures used in the demo and how to use the reference data files.