Applied risk management series: Active VAR management
In this article, Carlos Blanco introduces a set of tools to assist traders and risk managers in actively managing the value-at-risk of energy derivatives portfolios
Over the past 20 years, value-at-risk has been gradually gaining acceptance as a key market risk control tool for trading portfolios. VAR is used to set market risk limits at various levels of the portfolio hierarchy, as well as to determine risk-adjusted performance.
From a risk control perspective, VAR is often treated as a binary variable. According to this line of thinking, as long as a
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