Market risk can be described as potential losses in portfolio value caused by price changes in the investor's portfolio. Value-at-Risk (VaR) quantifies a loss bound that cannot be exceeded with a specified probability at a given time horizon, i.e., a quantile of the portfolio's loss...

Due to risk based capital requirements, financial institutions need to budget their risk-taking to assure their financial survival. This is necessary because the economic capital of the institutions which has to back risky positions is widely assumed to be a short resource. Therefore, financial...

Financial institutions aim to cap the market risk taken by their trading divisions through limited providing of risk capital or setting risk limits, respectively. Risk limits must be based on the market risk model internally used. The paper addresses to the questions of how to efficiently...