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Soundness of Market Risks Measurement techniques During Global Financial Turmoil

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  • Mirkovic, Vladimir

Abstract

Value-at-Risk (VaR) is one of the most popular tools used to estimate exposure to market risk and it measures the worst expected loss at a given level of confidence. This paper explains the main characheristics of the VaR concept, as well as, its advantages and limitations. Global financial turmoil changed the whole financial system worldwide and put under the question mark usefulness of market risk techniques. This paper intent to give some frameworks and opinion regarding crucial point impersonate in question: can we blame VaR and other market risk tools for financial turmoil and do they work well during financial crisis? The purpose of paper is presentation of market risk tools to risk management professionals and their possible usefulness in daily operations.

Suggested Citation

  • Mirkovic, Vladimir, 2013. "Soundness of Market Risks Measurement techniques During Global Financial Turmoil," Ekonomika, Journal for Economic Theory and Practice and Social Issues, Society of Economists Ekonomika, Nis, Serbia, vol. 59(1), March.
    • Handle: RePEc:ags:sereko:288658
    DOI: 10.22004/ag.econ.288658
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    Keywords

    Financial Economics;

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