Value At Risk Thesis

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The practical issues are studied in an empirical research conducted with the daily closing values of Nokia's stock price and Euro Stoxx 50 index price.

The daily risk estimates are calculated and the estimates are then backtested on yearly level.

Value at risk (Va R) is a statistic that measures and quantifies the level of financial risk within a firm, portfolio or position over a specific time frame.

This metric is most commonly used by investment and commercial banks to determine the extent and occurrence ratio of potential losses in their institutional portfolios.

Aluminum has a more random affect on the stocks, affecting mostly airlines and oil service companies as they are more dependent on aluminum price for their equipment.

The Va R estimation results show that the EWMA performs best for the four commodities, although only at 5% significance level.

As a result, the underestimations of occurrence and risk magnitude left institutions unable to cover billions of dollars in losses as subprime mortgage values collapsed.

Value at risk has become the standard risk measure of financial institutions during the past twenty years.

However, these conditions are seldom fulfilled in the markets.

In practice, the robustness of value at risk makes it the more suitable option for banking regulation.


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