Value at risk (VaR) is a statistic that quantifies the extent of possible financial losses within a firm, portfolio, or position over a specific time frame. This metric is most commonly used by ...

Nikada / Getty Images Value at Risk (VaR) has been called the "new science of risk management," and is a statistical technique that can be used to predict the greatest potential loss of an ...

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Value-at-risk (VAR) is an important and widely used measure of the extent to which a given portfolio is subject to the risk present in financial markets. In this paper, we present a method of ...

We find that the expected ‘climate value at risk’ (climate VaR) of global financial assets today is 1.8% along a business-as-usual emissions path. Taking a representative estimate of global ...

Amidst the current market turmoil due to the COVID-19 pandemic, it is timely to examine the performance of different Value-at-Risk (VaR) models over the long-term and in previous times of crisis.

LONDON, May 11 (IFR) - The implementation of a new Value-at-Risk model looks to have masked a US$2bn mark-to-market loss that built up in JP Morgan's chief investment office over the past few months.

Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate This paper assesses the impact of bonds issued according to Islamic principles ...

Financial assets, pretty much all of them, are in increasing danger of some nasty shocks and not only because many are horribly expensive. The problem, as we started to see last week, is a ...