Der Vortrag „Introduction to Value-at-Risk (VaR)“ von Edu Pristine ist Bestandteil des Kurses „Archiv - Valuation and Risk Models“. Der Vortrag ist dabei in folgende Kapitel unterteilt:
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... Operational risk takes into account the errors that can be made in instructing payments or settling transactions. Liquidity risk is caused by an unexpected large and stressful negative cash flow over a short period. Market risk estimates the uncertainty of future ear nings, due to the changes in market conditions ...
... Say the 95% daily VAR of your assets is $120, then it means that out of those 100 days there would be 95 days when your daily loss would be less than $120. This implies that during 5 days you may lose ...
... The colored area of the normal curve constitutes 5% of ...
... standard deviation (volatility) of the asset (or portfolio).VAR in absolute terms is given as the product of VAR in % and Asset Value: ...
... Volatility of asset A is 5.5% and asset B is 4.25% - Portfolio VaR if correlation ...