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A Gentle Introduction to Value at Risk

Ballotta, L. & Fusai, G. (2017). A Gentle Introduction to Value at Risk (Report No. 10.2139/ssrn.2942138). SSRN Working Paper Series.

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Abstract

This paper is an introduction to the measurement of market risk in financial markets, with examples drawn mainly from commodity markets. In particular, we present the concept of VaR, its limits, the problems related to its estimation and backtesting. This is done at single asset and at portfolio level. Issues related to estimation error, measurement of portfolio risk contribution and how to cope with derivative positions are also considered. Other important issues like liquidity, operational and credit risk will not be dealt here. For a Gentle introduction to the measurement of counterparty credit risk see the companion paper by Ballotta, Fusai and Marena always available on the SSRN web site.

Publication Type: Monograph (Working Paper)
Subjects: H Social Sciences > HG Finance
Departments: Cass Business School > Finance
URI: http://openaccess.city.ac.uk/id/eprint/20047

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