Statements (33)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
financial metric
|
| gptkbp:appliesTo |
banks
investment funds trading books individual assets portfolios |
| gptkbp:calculationMethod |
gptkb:Monte_Carlo_simulation
historical simulation variance-covariance |
| gptkbp:commonConfidenceLevels |
99%
95% |
| gptkbp:expressedIn |
confidence level
monetary value time horizon |
| https://www.w3.org/2000/01/rdf-schema#label |
VaR
|
| gptkbp:introducedIn |
gptkb:JP_Morgan
1990s |
| gptkbp:limitation |
assumes normal distribution
does not predict losses beyond threshold |
| gptkbp:measures |
market risk
potential loss |
| gptkbp:regulatoryUse |
gptkb:Basel_Accords
banking supervision |
| gptkbp:relatedConcept |
gptkb:Conditional_VaR
stress testing operational risk credit risk Expected Shortfall |
| gptkbp:standsFor |
gptkb:Value_at_Risk
|
| gptkbp:usedIn |
finance
risk management |
| gptkbp:bfsParent |
gptkb:Mathematical_Finance
|
| gptkbp:bfsLayer |
7
|