Value at Risk - Ch.5: Computing VaR


A Fellowship Forums Wiki Community Post

Online Link to this Reading: N/A

Topics Covered in this Reading:

  • Computing Var

    • Steps in Computing VaR
    • Nonparametric VaR
    • Parametric VaR
    • Why VaR as a Risk Measure?
  • Choice of Quantitative Factors

    • VaR as a Benchmark Measure
    • VaR as a Potential Loss Measure
    • VaR as Equity Capital
    • Criteria for Backtesting
    • Application: The Basel Parameters
    • Conversion of VaR Parameters
  • Assessing VaR Precision

    • The Problem of Measurement Errors
    • Estimation Errors in Means and Variances
    • Estimation Error in Sample Quantiles
    • Comparison of Methods

This is a wiki post, editable by anyone. Feel free to edit and add key points/extra detail above!

Value at Risk - Ch.5: Computing VaR