Value-At-Risk Measurement

Value-at-risk technique (a measure of market risk) shortened as ( VaR ) is the potential loss which can occur with α % confidence over a holding period of D days. This paper gives a descriptive and theoretical but comprehensive account of ( VaR ). Three basic methodologies; Model Building Approach (MBA), Historical Simulation (HS) and Monte Carlo Simulation (MCS) for estimating ( VaR ) are hereby considered with a comparative analysis using hypothetical values. Keywords: Value-at-risk ( VaR ), Confidence level, Correlation, Volatility, Stock, Portfolio. α Normal 0 false false false EN-GB X-NONE X-NONE /* Style Definitions */ table.MsoNormalTable {mso-style-name:"Table Normal"; mso-tstyle-rowband-size:0; mso-tstyle-colband-size:0; mso-style-noshow:yes; mso-style-priority:99; mso-style-parent:""; mso-padding-alt:0cm 5.4pt 0cm 5.4pt; mso-para-margin-top:0cm; mso-para-margin-right:0cm; mso-para-margin-bottom:8.0pt; mso-para-margin-left:0cm; line-height:107%; mso-pagination:widow-orphan; font-size:11.0pt; font-family:"Calibri","sans-serif"; mso-ascii-font-family:Calibri; mso-ascii-theme-font:minor-latin; mso-hansi-font-family:Calibri; mso-hansi-theme-font:minor-latin; mso-fareast-language:EN-US;}