Value at risk: a new methodology for measuring portfolio risk
AbstractMany different types of institutions hold portfolios of assets, and prudent financial management dictates that these firms be alert to any risks these assets may carry. How can these institutions judge the likelihood and magnitude of potential losses on their portfolios? A new methodology called value at risk (VAR) can be used to estimate these losses. In this article, Greg Hopper describes the various methods used to calculate VAR, paying special attention to its weaknesses.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Federal Reserve Bank of Philadelphia in its journal Business Review.
Volume (Year): (1996)
Issue (Month): Jul ()
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- David Cabedo, J. & Moya, Ismael, 2003. "Estimating oil price 'Value at Risk' using the historical simulation approach," Energy Economics, Elsevier, vol. 25(3), pages 239-253, May.
- Cornelis A. Los, 2004.
"Why VAR Fails: Long Memory and Extreme Events in Financial Markets,"
- Cornelis A Los, 2005. "Why VaR FailsLong Memory and Extreme Events in Financial Markets," The IUP Journal of Financial Economics, IUP Publications, vol. 0(3), pages 19-36, September.
- Mark R. Manfredo & Raymond M. Leuthold, 1998. "Agricultural Applications of Value-at-Risk Analysis: A Perspective," Finance 9805002, EconWPA.
- George S. Oldfield & Anthony M. Santomero, 1997. "The Place of Risk Management in Financial Institutions," Center for Financial Institutions Working Papers 95-05, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Gregory P. Hopper, 1997. "What determines the exchange rate: economic factors or market sentiment?," Business Review, Federal Reserve Bank of Philadelphia, issue Sep, pages 17-29.
- Cabedo Semper, J. David & Moya Clemente, Ismael, 2003. "Value at risk calculation through ARCH factor methodology: Proposal and comparative analysis," European Journal of Operational Research, Elsevier, vol. 150(3), pages 516-528, November.
- Mark R. Manfredo. & Raymond M. Leuthold, 1999. "Market Risk Measurement and the Cattle Feeding Margin: An Application of Value-at-Risk," Finance 9908002, EconWPA.
- repec:eme:jrfpps:v:10:y:2010:i:5:p:464-480 is not listed on IDEAS
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Beth Paul).
If references are entirely missing, you can add them using this form.