Var
Cutting Edge introduction: risky contributions
Original headline:
Value-at-risk is usually calculated via Monte Carlo simulation, making it difficult to see the contributions from different risks. But in some circumstances approximate formulas can be derived that greatly...
Original headline:
Value-at-risk models have been slammed for failing to adapt to increased volatility during the financial crisis, leading to high numbers of VAR exceptions. Did VAR models fail? By Patricio Contreras
Published online only
Deborah Cernauskas, Gabriel David and Anthony Tarantino propose an amended approach to value-at-risk that focuses on the drivers of risk and the use of agent-based modelling and simulation to capture...
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More Var articles
A new VAR terminology
Published online only
In the first of a four-part series, David Rowe considers the development of financial risk management over the past 25 years and offers some thoughts about its future direction
Valid Assumptions Required: an analysis of VaR for energy markets
Published online only
In this 10-part series, Brett Humphreys takes a fresh look at the widely used risk measure value-at-risk (VaR), urging risk managers to be more aware of the many assumptions that go into the calculation to produce the VaR number.
What does VAR mean in 2010?
Published online only
Value-at-risk figures fell across the industry in 2009, while exceptions dropped significantly from levels in 2007 and 2008. But discussion over what VAR figures actually show and how the numbers are interpreted by senior management continues. By Alexander...
Hammers and nails
Published online only
Excess regard for the techniques we know can lead to these methods being misapplied. Risk managers too often fall into this trap, argues David Rowe
Exceptions to the rule
Published online only
Regulators have traditionally seen value-at-risk exceptions as an early warning of weaknesses in bank risk models. However, the financial crisis has shown VAR exceptions cannot be used to predict bank failures or distress.
Anticipating and mitigating catastrophic risk
Published online only
Recent market turmoil has put risk management firmly in the spotlight, with regulators, lawmakers, industry practitioners, senior management, and the press all scrutinizing current risk management practices. Standard measures such as value at risk (VaR),...
Calmer markets reflected in VAR figures
Published online only
Lower volatility across asset classes in the second quarter of the year produced lower value-at-risk figures at almost all major banks, according to a Risk survey. Available figures for major bank VAR over the second quarter of 2009 show an average...
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