Information on Value at Risk as a tool to quantify and manage a firm's exposure to interest rates, foreign exchange and other risks. Vendors offer software for calculating Value at Risk.


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A New Framework for Measuring the Credit Risk of a Portfolio

An alternative value at risk model is presented, with practical applications for managing credit risk.




All About Value at Risk

Definitions, resources, and links to consultants and providers of Value at Risk software.




An Overview of Value at Risk

Four-part article on value at risk by Jun Pan in the Journal of Derviatives.




Analytical Value-At-Risk with Jumps and Credit Risk

A working paper by Darrell Duffie and Jun Pan of the Graduate School of Business at Stanford Unidversity.




Bank Capital Requirements for Market Risk: The Internal Models Approach

An article by Darryll Hendricks and Beverly Hirtle of the New York Federal Reserve that details the use of VaR in the bank setting.




Evaluation of Value-at-Risk Models Using Historical Data

A working paper by Darryll Hendricks of the New York Federal Reserve.




Factors at Risk

Introductory piece that mathematically describes maximum loss techniques as an extension of value at risk.




In Defence of Value at Risk

An article by Philippe Jorion in a 1997 issue of Derivatives Strategy.





Tips & Advice to help you make your decision on Value at Risk (VaR)

Value at Risk (VaR) is a way of measuring risk, and is used in financial risk management. It measures the specific risk of loss on a range of financial assets. VaR is based on a portfolio, a probability of an extreme loss occurring, and a time horizon. An example is that a specific portfolio can have a one-day 1% VaR of $2 million, meaning there is a 0.01 probability that the portfolio could fall in value by $2 million in a one day trading period.

Risk management is important for large businesses that maybe affected by sudden changes in the market. Preparing for a loss enables a business to cope with any dramatic events without serious consequences that could affect them ... more


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