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By Philip Best

Enforcing price in danger Philip most sensible price in danger (VAR) is an estimate of the aptitude loss on a buying and selling or funding portfolio. Its use has swept the banking global and is now permitted as a vital device in any danger manager's briefcase. might be the best power of VAR is that it might probably deal with nearly all monetary items, from uncomplicated securities via to complicated unique derivatives. this permits the chance taken, throughout different buying and selling actions, to be in comparison. This stated, VAR is not any panacea. it really is as serious to appreciate while using VAR is beside the point because it is to appreciate the price VAR can upload to a bank's realizing and keep an eye on of its dangers. This ebook goals to give an explanation for how VAR can be utilized as an essential component of a chance and company administration framework, instead of as a stand-alone software. The ambitions of this booklet are to provide an explanation for: What VAR is - and is not! the right way to calculate VAR - the 3 major equipment Why pressure trying out is required to counterpoint VAR the way to make tension trying out powerful how you can use VAR and tension trying out to control threat the right way to use VAR to enhance a bank's functionality VAR as a regulatory degree of chance and capital possibility administration practitioners, basic financial institution managers, experts and scholars of finance and threat administration will locate this booklet, and the software program package deal incorporated, a useful addition to their library.

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Implementing Value at Risk. Philip Best Copyright  1998 John Wiley & Sons, Ltd.

Implementing Value at Risk. Philip Best Copyright  1998 John Wiley & Sons, Ltd.

Philip Best Copyright  1998 John Wiley & Sons, Ltd.

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