Value at Risk (VaR) is increasingly popular as a management and regulatory tool. To further its acceptance it is necessary to assess its reliability under conditions likely to be encountered in financial markets. A logical ...

Value at risk is becoming increasingly popular as a management and regulatory tool. But before this acceptance goes much further, we need to assess its reliability under financial market conditions. Most VAR models deal ...

Emerging risk-management techniques use Value at Risk (VAR) to assess the market risk of a portfolio. We propose a relative simple method to estimate VAR conditionallyto reflect new information about the volatility of ...