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Analysis and Commentary

An Overview Of Value At Risk

by Darrell Duffie, Jun Panvia The Journal of Derivatives
Friday, January 11, 2019

This article gives a broad and accessible overview of models of value at risk (WR), a popular measure of the market risk of a financial firm’s “book,” the list of positions in various instruments that expose the firm to financial risk. Roughly speaking, the value at risk of a portfolio is the loss in market value over a given time period, such as one day or two weeks, that is exceeded with a small probability, such as 1%.