An Overview of Value at Risk Page 1 An Overview of Value at Risk Darrell Duffie and Jun Pan
Preliminary Draft: January 21, 1997 This review1 of value at risk, or \VaR," describes some of …

Fully revised and restructured, Measuring Market Risk, Second Edition includes a new
chapter on options risk management, as well as substantial new information on parametric …

The Second Edition of this best-selling book expands its advanced approach to financial risk
models by covering market, credit, and integrated risk. With new data that cover the recent …

Beyond Value at Risk: The New Science of Risk Management. Skip to main content Durham
Research Online (DRO) Home Research Outputs People Faculties and Departments …

In recent years, the trading accounts at large commercial banks have grown substantially
and become progressively more diverse and complex. We provide descriptive statistics on …

Financial risk model evaluation or backtesting is a key part of the internal model's approach
to market risk management as laid out by the Basle Committee on Banking Supervision …

Throughout the past year, on-site visits to financial service firms were conducted to review
and evaluate their financial risk management systems. The commercial banking analysis …

Financial Regulation presents an important restatement of the purposes and objectives of
financial regulation. The authors provide details and data on the scale, nature and costs of …

Value at Risk (VAR), a measure of the dollar amount of potential loss from adverse market
moves, has become a standard benchmark for measuring financial risk. Spurred by …

Recent research has shown that different methods of computing Value at Risk (VAR)
generate widely varying results, suggesting the choice of VAR method is very important. This …