VaR Analysis and its Reliability
Journal: Business Education in the Knowledge Economy (Vol.1, No. 1)Publication Date: 2015-06-01
Authors : Bobkova Natalia; Yarosh Anton;
Page : 144-145
Keywords : value-at-risk; VaR analysis; reliability of VaR analysis;
Abstract
The purpose of this article is to consider the role of VaR analysis in risk management, which is especially important in the ever changing environment. In the modern world, financial risk can be extremely difficult to identify and nearly impossible to eliminate. As a result, VaR analysis gets special value and allows researchers to measure the risk of loss on a specific portfolio of financial assets. In spite of the fact that VaR is a popular model used by the financial sector, it also has disadvantages that should be taken into account.
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