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mrbadguy
Posts: 477
Joined: September 22nd, 2002, 9:08 pm

What is Value at Risk and how is it used?

March 7th, 2003, 7:59 pm

Value at risk Var is generally understood to mean the maximum loss an investment could incur at a given confidence level over a specified time horizon. The concept of Var was introduced as innovation in risk measure and is a simpler riexposure of a commonly used metric risk exposure. It’s a likelihood of loss given a confidence interval:a.You specify an expected return from assets included in a specified portfoliob.You define a standard deviationc.You estimate the probability that the total portfolio would incur in a given loss for istance of 20% What about Var limits and substition and usefulness of Expected Shortfall?
 
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elisabeth26
Posts: 2
Joined: November 13th, 2012, 9:38 pm

What is Value at Risk and how is it used?

November 15th, 2012, 8:23 am

does anyone knows a methodology to calculate value at risk (var) on a CDS portfolioTks
 
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Samsaveel
Posts: 435
Joined: April 20th, 2008, 5:47 am

What is Value at Risk and how is it used?

December 11th, 2012, 3:00 am

very interesting thread ...a question to csparker .how does this work ; the idea of booking trades to reduce visible risks (VaR ) any examples .
 
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teaplus1
Posts: 6
Joined: December 16th, 2013, 8:41 am

What is Value at Risk and how is it used?

December 16th, 2013, 9:31 am

"What is Value at Risk and how is it used"So far there has been a good discussion about what VaR is, but not much about how it is used. How should it be used? (Other than allocating trading limits among traders/teams, which has been mentioned). Increase exposure when VaR is low, decrease when high? (Looks to me like this has historically been a terrible idea) If not that, what else?
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