Abstract
The Value-at-Risk (VaR) is probably the most known measure for quantifying and controlling the risk of a portfolio. The establishment of VaR is of central importance to a credit institute, since it is the basis for a regulatory notification technique and for required equity investments.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
References
Artzner, P., Delbaen, F., Eber, J.-M., & Heath, D. (1997). Thinking coherently. Risk, 10, 68–71.
Embrechts, P., Klüppelberg, C., & Mikosch, T. (1997). Modelling extremal events. Berlin: Springer-Verlag.
Franke, J., Härdle, W., & Stahl, G. (Eds.) (2000). Measuring risk in complex stochastic systems, Vol. 147 of Lecture notes in statistics. New York: Springer-Verlag.
Graumert, U., & Stahl, G. (2001). Interne Modelle. Handwörterbuch des Bank- und Finanzwesens. Stuttgart: Schäffer-Poeschel Verlag.
Jaschke, S., & Küchler, U. (1999). Coherent risk measures. Discussion paper, No. 64, SFB 373. Berlin: Humboldt-Universität zu.
Jorion, P. (2000). Value at risk: The new benchmark for managing financial risk. New York: McGraw-Hill.
Leadbetter, M., Lindgren, G., & Rootzen, H. (1983). Extremes and related properties of random sequences and processes. Springer Series in Statistics. New York-Heidelberg-Berlin: Springer-Verlag.
Lehrbass, F. (2000). A simple approach to country risk. In J. Franke, W. Härdle, & G. Stahl (Eds.), Measuring risk in complex stochastic systems (pp. 33–65). Springer-Verlag.
McAllister, P. H., & Mingo, J. J. (1996). Bank capital requirements for securitized loan portfolios. Journal of Banking and Finance, 20.
Overbeck, L. (2000). Allocation of economic capital in loan portfolios. In J. Franke, W. Härdle, & G. Stahl (Eds.), Measuring risk in complex stochastic systems (pp. 1–15). Springer-Verlag.
RiskMetrics (1996). Technical document, 4th edn.
Taleb, N. (2001). Fooled by randomness: The hidden role of chance in the markets and in life. New York: TEXERE LLC.
Taylor, S. J. (1986). Modelling financial time series. Chichester: Wiley.
Author information
Authors and Affiliations
Rights and permissions
Copyright information
© 2019 Springer Nature Switzerland AG
About this chapter
Cite this chapter
Franke, J., Härdle, W.K., Hafner, C.M. (2019). Value at Risk and Backtesting. In: Statistics of Financial Markets. Universitext. Springer, Cham. https://doi.org/10.1007/978-3-030-13751-9_16
Download citation
DOI: https://doi.org/10.1007/978-3-030-13751-9_16
Published:
Publisher Name: Springer, Cham
Print ISBN: 978-3-030-13750-2
Online ISBN: 978-3-030-13751-9
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)