Abstract
Models for measuring market risk have a longer history and have been so far subject to more detailed and extensive scrutiny than credit risk models. This is certainly due to the fact that regulatory prescriptions have been in place for longer (BCBS, 1996), but it is also due to the nature of market risk and, as a consequence, of market risk models. Market risk factors are in fact, for the most part, observable, which is not, in general, the case for other types of risk, and historical time series are available that allow extensively for both calibration and testing. Furthermore, although this advantage is off-traded by the complexity of portfolios, market risk assessment can build on the results of pricing and valuation models, which are readily available for a large number of financial instruments.
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© 2016 Sergio Scandizzo
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Scandizzo, S. (2016). Value at Risk Models. In: The Validation of Risk Models. Applied Quantitative Finance series. Palgrave Macmillan, London. https://doi.org/10.1057/9781137436962_8
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DOI: https://doi.org/10.1057/9781137436962_8
Publisher Name: Palgrave Macmillan, London
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