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value at risk calculation with examples?

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  • PK
    Lv 5
    1 decade ago
    Favorite Answer

    Value at risk (VaR) is a measure of how the market value of an asset or of a portfolio of assets is likely to decrease over a certain time period (usually over 1 day or 10 days) under typical conditions.

    Banks, broker dealers and investment banks use VaR to measure the market risk of their proprietary owned assets.

    It is difficult to give a formula, because VaR varies widely depending on the conditions, asset class, historical performance, volatility/standard deviation, downside risk and expected shortfall.

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  • 1 decade ago

    The above answer is accurate, as far as it goes. This is highly technical, requires a high level of understanding of statisical and quantitative analysis and is well beyond the scope here. If you really want to know how it works, go here......

    http://en.wikipedia.org/wiki/Value_at_risk

    or here.....

    http://www2.gsb.columbia.edu/faculty/pglasserman/O...

    or here ........

    http://www.finpipe.com/mrisk.htm

    Good Luck!

    Source(s): 30 years investment banker and real estate developer
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  • Anonymous
    1 decade ago

    Your question is unclear and therefore cannot be answered intelligently.

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  • 1 decade ago

    same as serge plz explain what u r saying and then we can answer ur question.

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  • 1 decade ago

    i just do not understand the question. i understand the term but what is your question.rs

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