IDEAS home Printed from https://ideas.repec.org/a/rsr/supplm/v60y2012i4p162-169.html
   My bibliography  Save this article

Methodology Concerning the Utilization of the Value at Risk

Author

Listed:
  • Gabriela-Victoria ANGHELACHE

    (Academy of Economic Studies, Bucharest)

  • Andreea NEGRU (CIOBANU)

    (Academy of Economic Studies, Bucharest)

  • Lorand KRALIK

    (Academy of Economic Studies, Bucharest)

Abstract

The value at risk (VaR) represents an estimate, at a certain level of probability and under normal conditions of the market, for the maximal level of value loss that may be recorded by a portfolio of financial assets over an established time horizon. Originally, the VaR methodology has been used by the banks for internal purposes but it acquired an increasing significance after the amendment brought in 1996 to the Basel I Agreement, the surveying authorities encouraging the banks to apply the VaR. The main characteristic of the VaR model consists of the emphasize which it put on the expected losses as a result of the volatility of the market value of the financial assets, and not on the losses generated by the gains volatility.

Suggested Citation

  • Gabriela-Victoria ANGHELACHE & Andreea NEGRU (CIOBANU) & Lorand KRALIK, 2012. "Methodology Concerning the Utilization of the Value at Risk," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 60(4), pages 162-169, November.
  • Handle: RePEc:rsr:supplm:v:60:y:2012:i:4:p:162-169
    as

    Download full text from publisher

    File URL: http://www.revistadestatistica.ro/suplimente/2012/4/srrs4_2012a25.pdf
    Download Restriction: no

    More about this item

    Keywords

    value at risk; financial assets; portfolio yields; models; confidence probability;

    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rsr:supplm:v:60:y:2012:i:4:p:162-169. 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: (Adrian Visoiu). General contact details of provider: http://edirc.repec.org/data/stagvro.html .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.