Methodology Concerning the Utilization of the Value at Risk
Journal Title: Revista Romana de Statistica - Year 2012, Vol 60, Issue 4
Abstract
The value at risk (VaR) represents an estimate, at a certain level of probability and under normal conditions of the market, for the maximal level of value loss that may be recorded by a portfolio of financial assets over an established time horizon. Originally, the VaR methodology has been used by the banks for internal purposes but it acquired an increasing significance after the amendment brought in 1996 to the Basel I Agreement, the surveying authorities encouraging the banks to apply the VaR. The main characteristic of the VaR model consists of the emphasize which it put on the expected losses as a result of the volatility of the market value of the financial assets, and not on the losses generated by the gains volatility.
Authors and Affiliations
Gabriela-Victoria ANGHELACHE, Andreea NEGRU (CIOBANU), Lorand KRALIK
Keywords
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