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VaR Noise

In: Hands-On Value-at-Risk and Expected Shortfall

Author

Listed:
  • Martin Auer

    (Raiffeisen Bank International)

Abstract

Having examined the static properties of the VaR, we now look into its dynamic behavior over time. As new positions are entered or old ones closed, and as the volatilities of the assets involved change, the VaR, recalculated every day, will change as well. Often, such VaR changes and their reasons are of more interest in risk management than the level of the VaR itself.

Suggested Citation

  • Martin Auer, 2018. "VaR Noise," Management for Professionals, in: Hands-On Value-at-Risk and Expected Shortfall, chapter 14, pages 69-72, Springer.
    • Handle: RePEc:spr:mgmchp:978-3-319-72320-4_14
    DOI: 10.1007/978-3-319-72320-4_14
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