Advanced Search
MyIDEAS: Login to save this paper or follow this series

Risk measurement: an introduction to value at risk

Contents:

Author Info

  • Linsmeier, Thomas J.
  • Pearson, Neil D.
Registered author(s):

    Abstract

    This paper is a self-contained introduction to the concept and methodology of "value at risk," which is a new tool for measuring an entity's exposure to market risk. We explain the concept of value at risk, and then describe in detail the three methods for computing it: historical simulation; the variance-covariance method; and Monte Carlo or stochastic simulation. We then discuss the advantages and disadvantages of the three methods for computing value at risk. Finally, we briefly describe some alternative measures of market risk.

    Download Info

    If 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.
    File URL: http://purl.umn.edu/14796
    Download Restriction: no

    Bibliographic Info

    Paper provided by University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics in its series ACE Reports with number 14796.

    as in new window
    Length:
    Date of creation: 1996
    Date of revision:
    Handle: RePEc:ags:uiucar:14796

    Contact details of provider:
    Postal: 326 Mumford Hall, MC-710, 1301 West Gregory Drive, Urbana, Illinois, 61801
    Phone: (217) 333-1810
    Fax: (217) 333-5538
    Email:
    Web page: http://www.ace.uiuc.edu/
    More information through EDIRC

    Related research

    Keywords: Risk and Uncertainty;

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Billio, Monica & Pelizzon, Loriana, 2000. "Value-at-Risk: a multivariate switching regime approach," Journal of Empirical Finance, Elsevier, vol. 7(5), pages 531-554, December.
    2. Yass A. Alkafaji & Nauzer Balsara & Judith N. Aburmishan, 2006. "FASB’s Statement No. 133 on Derivatives and Barings Bank: The Case for Value at Risk (VAR)," Accounting Research Journal, Emerald Group Publishing, vol. 19(2), pages 94-104, September.
    3. Basak, Suleyman & Shapiro, Alexander, 2001. "Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices," Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 371-405.
    4. Xiongwei Ju & Neil D. Pearson, 1998. "Using Value-at-Risk to Control Risk Taking: How Wrong Can you Be?," Finance 9810002, EconWPA.
    5. Rifki Ismal, 2010. "Volatility of the returns and expected losses of Islamic bank financing," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing, vol. 3(3), pages 267-279, August.
    6. Wallace, Garry E. & Samsul Huda, A.K., 2005. "Using climate information to approximate the value at risk of a forward contracted canola crop," AFBM Journal, Australasian Farm Business Management Network, vol. 2(1).
    7. Mark R. Manfredo. & Raymond M. Leuthold, 1999. "Market Risk Measurement and the Cattle Feeding Margin: An Application of Value-at-Risk," Finance 9908002, EconWPA.
    8. Karoline Terán Matamoros & Oscar Molina Tejerina, 2005. "Simulación eficiente del valor de riesgo de un portafolio de acciones del IPSA: Un análisis de componentes principales," Investigación & Desarrollo 0205, Universidad Privada Boliviana, revised Mar 2005.
    9. Rossignolo, Adrian F. & Fethi, Meryem Duygun & Shaban, Mohamed, 2012. "Value-at-Risk models and Basel capital charges," Journal of Financial Stability, Elsevier, vol. 8(4), pages 303-319.
    10. Michael G. Papaioannou, 2006. "A Primer for Risk Measurement of Bonded Debt From the Perspective of a Sovereign Debt Manager," IMF Working Papers 06/195, International Monetary Fund.
    11. Mark R. Manfredo & Raymond M. Leuthold, 1998. "Agricultural Applications of Value-at-Risk Analysis: A Perspective," Finance 9805002, EconWPA.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:ags:uiucar:14796. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.