Value at Risk (VaR)     Financial_services > Commercial finance > Value at Risk (VaR)
	Methods for Evaluating Value-at-Risk Estimates Presentation of various methods for evaluating the output of value at risk (VaR) models.
It's Time We Buried Value-at-Risk An article by Richard Hoppe in the August issue of Risk Professional, which outlines the limitations of value at risk.
Risk Measures: Value at Risk Definitions and in-depth analysis of various methodologies for applying value at risk.
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.
Factors at Risk Introductory piece that mathematically describes maximum loss techniques as an extension of value at risk.
Introduction to Analytic (Variance-Covariance) VaR with FEA VaRworks Description of VaRworks, a tool to study variance-covariance theory, written by Carlos Blanco of Financial Engineering Associates.
Simulating Value-at-Risk Adaptation of value at risk (VaR) for nonlinear portfolios, such as those including options.
Value at Risk Analysis of a Leveraged Swap A working paper by Sanjay Srivastave that examines whether value at risk would have warned of impending danger in the Procter & Gamble interest rate swap losses of 1993-1994.
Taking VAR to Pieces Analysis of component value at risk (CVaR).
How Good is Your VaR? Using Backtesting to Assess System Performance Article by Carlos Blanco and Geoffrey Ihle describing the use of backtesting to evaluate VAR system performance.
Interest Rate Risk of Banking Accounts: Measurement Using the VaR Framework This paper applies the value at risk methodology to bank deposits and loans.
From Value at Risk to Stress Testing: The Extreme Value Approach A 1999 paper by Francois Longin published in the Journal of Banking & Finance.
Conditional Value-at-Risk: Optimization Algorithms and Applications An article by Stanislave Uryasev in the February 2000 issue of Financial Engineering News.
From Risk Measurement to Risk Management with FEA VaRworks Manual on Monte Carlo simulation, variance-covariance VaR theory and extreme value theory written by Carlos Blanco of Financial Engineering Associates.
Determining and controlling value at risk: A global custodian and a public pension fund share their views An article by Fred Stanbaugh.
Optimization of Conditional Value at Risk Presentation of an improvement to standard value at risk (VaR) models.
Something to Show for VAR An explanation of implementing value at risk, using foreign exchange hedging as an example.
Value at Risk (VaR) Implementation An article that describes the three main VaR methodologies; written by Simon Benninga and Zvi Wiener.
Improving on VaR Presentation of a normalized model of value at risk (VaR).
An Overview of Value at Risk Four-part article on value at risk by Jun Pan in the Journal of Derviatives.
Approximation of Profit-and-Loss Distributions: Part 2 of 2 Analysis of weaknesses in the traditional value at risk models.
Correlation: Pitfalls and Alternatives A working paper which discusses the appropriate use of correlation, and its implications for implementing value at risk models.
Subjective Value at Risk Article that addresses some of the practical difficulties and limitations of value at risk (VaR) models.
Value at Risk and Maximum Loss Optimization Adjustment to the traditional value at risk model by G. Studer of ETH-Zurich.
Simulating a Market Crisis Tokai Bank displays the limitations of value at risk in the case of a market crisis. This display also introduces the bank's proprietary risk management tool.
In Defence of Value at Risk An article by Philippe Jorion in a 1997 issue of Derivatives Strategy.
Finding Optimal Portfolios with Constraints on Value at Risk, A paper by Alexei Gaivoronski and Georg Pflug, which describes the use of VaR in the context of optimal portfolio construction and rebalancing.
Estimating Value at Risk With a Precision Measure By Combining Kernel Estimation With Historical Simulation A 1997 working paper by J.S. Butler and Barry Scha.chter
VAR and the Unreal World Criticism of value at risk (VaR) in the face of real world applications.
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.
The Extreme Value Approach to VaR (Part 2 of 4) Part two in a series of articles concerning the application of extreme value theory to value at risk (VaR).
Hedging with VaR A brief article on the implementation of a hedging strategy using value at risk; written by Alvin Kuruc and Bernard Lee at Infinity, a SunGard Company.
Non-Linear Value at Risk Information on the improvement of linear value at risk (VaR) models to incorporate portfolios.
Value at Risk and Derivatives Risk A working paper by Eric Falkenstein, which argues that operational risk is much more important to derivatives trading operations, although value at risk does have a role in the risk management process.
The Value of Value at Risk: Statistical, Financial, and Regulatory Considerations A summary of a presentation by Jon Danielsson, Casper de Vries, and Bjorn Jorgensen.
The Extreme Value Approach to VaR (Part 3 of 4) Part three in a series of articles concerning the application of extreme value theory to value at risk (VaR).
Stressing Out An article by Carol Bere, which argues that value at risk and stress testing, while not ideal, are the best available tools to manage derivatives risk.
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.
Evaluation of Value-at-Risk Models Using Historical Data A working paper by Darryll Hendricks of the New York Federal Reserve.
A Comparison of Value at Risk Approaches and Their Implications for Regulators A working paper by Gabriela de Raaji and Burkhard Raunig of the Oesterreichische Nationalbank.
Value at Risk Under Non-Normal Distributions Presentation of a variation of traditional value at risk (VaR) models to account for non-normal distributions.
Value at Risk for Asset Managers A working paper by Christopher Culp, Ron Mensink, and Andrea Neves that argues for trading managers to utilize value at risk as part of their general risk management strategy.
Value at Risk Models for Dutch Bond Portfolios. A working paper by Peter Vaar of De Nederlendsche Bank.
All About Value at Risk Definitions, resources, and links to consultants and providers of Value at Risk software.
The Extreme Value Approach to VaR Part one in a series of articles concerning the application of extreme value theory to value at risk (VaR).
Value at Risk and Foreign Exchange Risk Measurement Thorough discussion of Value at Risk measures and their applications to foreign exchange risk management, by Thomas J. Linsmeier and Neil D. Pearson of the University of Illinois.
Introduction to Monte Carlo VaR with FEA VaRworks Article on using VaRworks to study Monte Carlo VaR by Carlos Blanco of Financial Engineering Associates.
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