Lechner, Lindsay A.; Ovaert, Timothy C. - In: The Journal of Risk Finance 11 (2010) 5, pp. 464-480
capture the amount of risk a financial firm takes on in a single trading day, risk managers use a technology known as value‐at‐risk … skewness (asymmetry) and leptokurtosis (fat‐tails). The purpose of this paper is to provide an overview of VaR and describe … methodologies used to assess value‐at‐risk (VaR), since accurate VaR measures reduce a firm's capital requirement and reassure …