This paper investigates the impact of time-scaling methods on the accuracy of value-at- risk (VaR) models. We compare the performance of traditional square-root-of-time scaling with a proposed ...

VaR helps quantify investment risk by modeling potential losses in portfolios or stocks. Three main VaR methods are historical, variance-covariance, and Monte Carlo simulation. Using VaR with other ...

Like tomorrow, new market risk capital rules for banks always seem to be one day away. The repeated delays have left bankers with a headache over what to do with their existing market risk management ...

(Reuters) - Goldman Sachs Group Inc reduced its risk-taking for a third straight year, with potential losses from trading positions dropping to the lowest level in seven years, reflecting a more ...