valueatriskstyle
Valueatriskstyle is a term that describes the set of practices and conventions used for estimating and presenting value-at-risk (VaR) within financial risk management. It encompasses methodological choices, data requirements, horizon and confidence specifications, and the format of risk reports.
Calculation approaches commonly included in valueatriskstyle are historical simulation, variance-covariance (parametric), and Monte Carlo simulation. Each
Outputs produced under valueatriskstyle usually include time series of VaR, backtesting results, and exceedance counts, along
Applications include banks, asset managers, and hedge funds measuring potential losses, informing risk limits, capital allocation,
Limitations of VaR and its presentation under valueatriskstyle are well documented. VaR does not capture tail
As a coined term, valueatriskstyle does not denote a single standard but a spectrum of approaches used