Solvency II value-at-risk (VaR) models focus on a one-year horizon and a confidence interval of 0.5%. To accurately backtest such models, a multiple of 200 years of historic data is necessary. Due to ...
The dislocation of the financial markets during the third quarter of 2007 caused an unusual number of exceptions in banks’ value-at-risk (VaR) models. In presence of regime change, the standard VaR ...
What is value at risk (VaR)? Value at risk is a measurement used to assess the financial risk to a company, investment portfolio or open position over a period of time. VaR estimates the potential for ...
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