Corpus ID: 55353055

Value at risk (VaR) backtesting 'Evidence from a South African market portfolio'

  title={Value at risk (VaR) backtesting 'Evidence from a South African market portfolio'},
  author={Gerald Z. Katsenga},
Value at Risk (VaR) has emerged as one of the most prominent risk measurement techniques in finance. It is a measure that quantifies the worst expected loss over a given confidence level and target horizon, under normal market conditions. In this thesis, the concept of VaR as an invaluable tool for financial risk management is explained, and a theoretical but detailed description of some of the methods of VaR computation are presented, with a key emphasis on the assumptions and shortcomings of… Expand
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