Journal of Applied Management- Jidnyasa

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Value at risk is a statistical technique used to measure and quantify the level of financial risk within a firm or investment portfolio over a specific time frame. Value-a-Risk is an important and one of the most popular probability-based risk management tools for measuring and controlling market risks. In Industrial and financial sectors, this is considered as the important concept of risk measurement. The results produced by a VaR model are simple for all levels of staff from all areas of an organization to understand and at the same time they are quite reliable as well. Value at Risk has become such a popular tool within a short span of time and probably that is the biggest reason it has been adopted widely. This research paper is an attempt to discuss the concept of Value at Risk and the rationality behind using it. The researchers have also tried to explain important types of VaR.

Keywords

Value-at-Risk, Historical Simulation, Delta-Normal Method, Parametric VaR, Non-Parametric VaR, Correlation, Monte Carlo Analysis.
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