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Parametric VaR Analysis

In: Postmodern Portfolio Theory

Author

Listed:
  • James Ming Chen

    (Michigan State University)

Abstract

Leptokurtosis poses an especially keen threat to the economically informed evaluation of market risk in the trading books of major financial institutions (including, but not limited to, those deemed systemically important to global financial stability). Why this should be so warrants a quick look at global banking regulation. I will then describe VaR analysis and its parametric implementation under Gaussian assumptions.

Suggested Citation

  • James Ming Chen, 2016. "Parametric VaR Analysis," Quantitative Perspectives on Behavioral Economics and Finance, in: Postmodern Portfolio Theory, chapter 0, pages 247-259, Palgrave Macmillan.
    • Handle: RePEc:pal:qpochp:978-1-137-54464-3_13
    DOI: 10.1057/978-1-137-54464-3_13
    as

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