Beyond VaR: from measuring risk to managing risk

@inproceedings{Mausser1999BeyondVF,
  title={Beyond VaR: from measuring risk to managing risk},
  author={Helmut Mausser and Dan Rosen},
  booktitle={CIFEr},
  year={1999}
}
This paper examines tools for managing, as opposed to simply monitoring, a portfolio’s Value-at-Risk (VaR). These tools include the calculation of VaR contribution, marginal VaR and trade risk profiles. We first review the parametric, or delta-normal, versions of these tools and then extend them to the simulationbased, or non-parametric, case. We analyze two sample portfolios: one, consisting of foreign exchange contracts, is well-suited for parametric analysis while the other, which contains… CONTINUE READING
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