Statements (24)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
financial risk measure
|
| gptkbp:abbreviation |
gptkb:VaR
|
| gptkbp:calculationMethod |
gptkb:Monte_Carlo_simulation
historical simulation variance-covariance method |
| gptkbp:confidence_level |
specified probability
|
| gptkbp:expressedIn |
monetary value
|
| https://www.w3.org/2000/01/rdf-schema#label |
Value at Risk
|
| gptkbp:limitation |
not subadditive
assumes normal distribution does not predict losses beyond VaR |
| gptkbp:measures |
potential loss
|
| gptkbp:originatedIn |
1990s
|
| gptkbp:popularizedBy |
gptkb:J.P._Morgan
|
| gptkbp:regulatory_framework |
gptkb:Basel_Accords
|
| gptkbp:relatedConcept |
Expected Shortfall
Conditional Value at Risk |
| gptkbp:time_horizon |
specified period
|
| gptkbp:used_in |
banks
insurance companies risk management investment firms |
| gptkbp:bfsParent |
gptkb:Measuring_Market_Risk
|
| gptkbp:bfsLayer |
7
|