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Accounting for Value at Risk in Financial Institutions' Portfolios

Accounting for Value at Risk in Financial Institutions' Portfolios One of the most important developments in portfolio risk management in the 1990s was the increased use of Value at Risk VaR. VaR has enjoyed a spectacular rise, from being largely unknown at the beginning of the 1990s, to prominence among financial institutions and, more recently, also in the corporate world. VaR is particularly useful because it measures aggregate portfolio risk by accounting for correlations between the individual risk factors in a portfolio. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Risk Finance Emerald Publishing

Accounting for Value at Risk in Financial Institutions' Portfolios

The Journal of Risk Finance , Volume 2 (1): 8 – Apr 1, 2000

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Publisher
Emerald Publishing
Copyright
Copyright © Emerald Group Publishing Limited
ISSN
1526-5943
DOI
10.1108/eb022946
Publisher site
See Article on Publisher Site

Abstract

One of the most important developments in portfolio risk management in the 1990s was the increased use of Value at Risk VaR. VaR has enjoyed a spectacular rise, from being largely unknown at the beginning of the 1990s, to prominence among financial institutions and, more recently, also in the corporate world. VaR is particularly useful because it measures aggregate portfolio risk by accounting for correlations between the individual risk factors in a portfolio.

Journal

The Journal of Risk FinanceEmerald Publishing

Published: Apr 1, 2000

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