Publication | Open Access
The History and Ideas Behind VaR
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2015
Year
EngineeringFinancial Risk ManagementRisk MetricSoftware EngineeringEssential Risk MeasuresHistory Of LogicAsset PricingRisk ManagementRisk HistoryIdeas Behind VarStatisticsFinancial ModelingValue-at-riskAccountingDesignBasic TypesFinanceFinancial EconomicsPortfolio RiskBusinessRisk Analysis (Business)Financial Engineering
The value at risk is one of the most essential risk measures used in the financial industry. Even though from time to time criticized, the VaR is a valuable method for many investors. This paper describes how the VaR is computed in practice, and gives a short overview of value at risk history. Finally, paper describes the basic types of methods and compares their similarities and differences.