Risk Budgeting

VaR, or value at risk, is a concept introduced by bank dealers to establish parameters for their market short-term risk exposure. This text introduces VaR, extr... » 

VaR, or value at risk, is a concept introduced by bank dealers to establish parameters for their market short-term risk exposure. This text introduces VaR, extreme VaR, and stress-testing risk measurement techniques to major institutional investors. «