Value at Risk - Ch.7: Portfolio Risk: Analytical Methods


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Reading Source: Textbook - Value at Risk

Topics Covered in this Reading:

  • Portfolio VaR
  • VaR Tools
    • Marginal VaR
    • Incremental VaR
    • Component VaR
    • Summary
  • Examples
    • A Global Portfolio Equity Report
    • Barings: An Example in Risks
  • VaR Tools for General Distributions
  • From VaR to Portfolio Management
    • From Risk Measurement to Risk Management
    • From Risk Management to Portfolio Management
  • Conclusions
  • Appendix A - Matrix Multiplication