Value at Risk - Ch.5: Computing VaR

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Reading Source: Textbook - Value at Risk

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

Value at Risk - Ch.5: Computing VaR