Market Risk What is VaR (Value-at-Risk)? July 19, 2020December 30, 2020Ray Yeo Introduction Among all the market risk measures, Value-at-Risk (“VaR”) is the champion in terms of popularity and usage. Pioneered by J.P. Morgan in 1995 as part of their “RiskMetrics” software, it had…Read MoreWhat is VaR (Value-at-Risk)?
Market Risk The Areas of Market Risk: Control, Reporting, Modelling July 1, 2020October 31, 2020Ray Yeo Having worked for a number of years in market and counterparty credit risk (under market risk) in the sell-side i.e. banks, I like to view and categorise the market risk function into…Read MoreThe Areas of Market Risk: Control, Reporting, Modelling
