w**********a
发帖数: 107 | 1 I have a question about setting the risk limit based on VaR.
Suppose I have to model to measure VaR. How can I set a risk limit, i.e. how
much money I'd put on risk based on VaR? Is there any literature I can look
into? Thanks a million. |
x********9
发帖数: 31 | 2 VaR is typically used to compute the capital reserve. Generally, you need
capital when your asset and liability do not perfectly comove. The amount of
capital you need depends on the VaR level of your portfolio. You may want
to use capital to absorb sudden unpredicted loss in a relatively short
horizon. THat's how VaR is used in practice. |
w**********a
发帖数: 107 | 3
of
Thanks.
【在 x********9 的大作中提到】
: VaR is typically used to compute the capital reserve. Generally, you need
: capital when your asset and liability do not perfectly comove. The amount of
: capital you need depends on the VaR level of your portfolio. You may want
: to use capital to absorb sudden unpredicted loss in a relatively short
: horizon. THat's how VaR is used in practice.
|
q*******l
发帖数: 36 | 4 mark,学习了
of
【在 x********9 的大作中提到】
: VaR is typically used to compute the capital reserve. Generally, you need
: capital when your asset and liability do not perfectly comove. The amount of
: capital you need depends on the VaR level of your portfolio. You may want
: to use capital to absorb sudden unpredicted loss in a relatively short
: horizon. THat's how VaR is used in practice.
|
