Tag Archives: VaR

PnL VaR – Drivers and Implications

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

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Value at Risk Aggregation – A Major Challenge of Risk Management

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

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CVaR Value at Risk – an Introduction

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

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Quartet’s Value at Risk Software Demo – Understanding the Measures Used

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.

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Value at Risk Software Demo Explained

This series of blog posts explains about Quartet FS’s value at risk software and how to get the most out of our online VaR demo. In this post, we explain different types of value at risk analysis and the cube structure in …Read more

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