Value at risk - Revision history

imported>Doug Williamson: Add links.

2023-03-13T12:00:31Z

Add links.

2022-10-14T19:35:12Z

Add link.

2021-04-08T15:00:39Z

Add links.

← Older revision		Revision as of 15:00, 8 April 2021
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			''Risk management and measurement.''

	(VaR).		(VaR).

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	* [[Cash flow at risk]]		* [[Cash flow at risk]]
	* [[Correlated value at risk]]		* [[Correlated value at risk]]
			* [[Correlation]]
	* [[Delta-normal method]]		* [[Delta-normal method]]
	* [[Earnings at risk]]		* [[Earnings at risk]]
	* [[Frequency distribution]]		* [[Frequency distribution]]
			* [[Hedging]]
	* [[Historical simulation method]]		* [[Historical simulation method]]
	* [[Incremental VaR]]		* [[Incremental VaR]]
	* [[Leptokurtosis]]		* [[Leptokurtosis]]
	* [[Marginal VaR]]		* [[Marginal VaR]]
			* [[Mean deviation]]
	* [[Monte Carlo method]]		* [[Monte Carlo method]]
	* [[Risk appetite]]		* [[Risk appetite]]
	* [[Standard deviation]]		* [[Standard deviation]]
	* [[Variance]]		* [[Variance]]
			* [[Variability]]
			* [[Volatility]]

	[[Category:Risk_frameworks]]		[[Category:Risk_frameworks]]

2020-10-01T14:15:06Z

Add example of regular usage.

← Older revision		Revision as of 14:15, 1 October 2020
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	The specified time period is commonly the planned holding period, or else the time lag before the holder of the position could normally respond to close out their loss-making position.		The specified time period is commonly the planned holding period, or else the time lag before the holder of the position could normally respond to close out their loss-making position.


			VaR is regularly used as a tool to define and manage risk appetite.


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	* [[Marginal VaR]]		* [[Marginal VaR]]
	* [[Monte Carlo method]]		* [[Monte Carlo method]]
			* [[Risk appetite]]
	* [[Standard deviation]]		* [[Standard deviation]]
	* [[Variance]]		* [[Variance]]

	[[Category:Risk_frameworks]]		[[Category:Risk_frameworks]]

2018-09-03T19:29:18Z

Add cash flow at risk and earnings at risk examples.

← Older revision		Revision as of 19:29, 3 September 2018
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	It is sometimes written as 'Value at Risk'.		It is sometimes written as 'Value at Risk'.


			Value at risk concepts can be applied to any financial measure.

			Common examples include cash flow at risk and earnings at risk.


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	* [[Correlated value at risk]]		* [[Correlated value at risk]]
	* [[Delta-normal method]]		* [[Delta-normal method]]
			* [[Earnings at risk]]
	* [[Frequency distribution]]		* [[Frequency distribution]]
	* [[Historical simulation method]]		* [[Historical simulation method]]

2016-11-16T14:17:56Z

Removed link

2015-11-13T18:29:24Z

Link with Variance page.

2015-11-13T15:48:39Z

Colour change of example headers

← Older revision		Revision as of 15:48, 13 November 2015
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	'''Example'''		<span style="color:#4B0082">'''Example'''</span>

	If weekly VaR is assessed as €250,000 at a 95% level of confidence, it means we are 95% confident that cumulative net losses for any one week will not exceed €250,000.		If weekly VaR is assessed as €250,000 at a 95% level of confidence, it means we are 95% confident that cumulative net losses for any one week will not exceed €250,000.

2015-05-30T09:55:04Z

Example header added

← Older revision		Revision as of 09:55, 30 May 2015
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	~~For example if~~ weekly VaR is assessed as €250,000 at a 95% level of confidence, it means we are 95% confident that cumulative net losses for any one week will not exceed €250,000.		'''Example'''

			If weekly VaR is assessed as €250,000 at a 95% level of confidence, it means we are 95% confident that cumulative net losses for any one week will not exceed €250,000.

	So the probability that weekly losses will exceed €250,000 is 5%, according to the VaR assessment.		So the probability that weekly losses will exceed €250,000 is 5%, according to the VaR assessment.

2015-05-20T09:21:34Z

Link with Cash flow at risk