Bagheri, Farid; Reforgiato Recupero, Diego; Sirnes, Espen (Journal article; Tidsskriftartikkel; Peer reviewed, 2023-08-17)
Value at risk is a statistic used to anticipate the largest possible losses over a specific
time frame and within some level of confidence, usually 95% or 99%. For risk management and
regulators, it offers a solution for trustworthy quantitative risk management tools. VaR has become
the most widely used and accepted indicator of downside risk. Today, commercial banks and financial
institutions ...