Interpreting Value at Risk (VaR) forecasts
AbstractValue at Risk (VaR) forecasts have been increasingly accepted globally by both risk managers and regulators as a tool to identify and control exposure to financial market risk. However, modern portfolios are characterized by a constantly changing composition of security holdings that reflect portfolio managers' strategies, expected prices, and net cash flows into the portfolio. As a result of these factors, portfolio returns are time-varying mixtures of distributions which are unlikely to be well approximated by conventional methods.
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Bibliographic InfoArticle provided by Elsevier in its journal Economic Systems.
Volume (Year): 32 (2008)
Issue (Month): 2 (June)
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