KIC000042 - I'lIT Risk Management As the number and use of...

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\ I 'lIT Value at Risk -- Value at Risk The Value at Risk (VaR) concept evolved out of the need for better risk measurement following several financial disasters in the early 1990s. VaR addresses the question, "What loss level is such that we are X"1'0 confident it will not be exceeded in N business days?" VaR VaR focuses on the left of the return distribution. Value at Risk Banks and other businesses with substantial trading positions rely upon VaR to track their risk exposure. Many businesses have organized risk management departments with personnel who track and manage firm exposure to risks. The capital reserves that regulators require banks to keep are now also based on the bank's estimated VaR. Specifically, a bank's capital reserve is required to be at least three times the IO-day 99% VaR '.1,- J' ..... Risk Management As the number and use of financial instruments for hedging and speculating has grown, the need for better risk measurement and risk management has become apparent. Losses
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KIC000042 - I'lIT Risk Management As the number and use of...

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