English, Article edition: Value-at-risk concept by Swiss private banks Andrey Rogachev

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Bookmark: http://trove.nla.gov.au/version/8853
Physical Description
  • article
Language
  • English

Edition details

Title
  • Value-at-risk concept by Swiss private banks
Author
  • Andrey Rogachev
Physical Description
  • article
Notes
  • Purpose – The purpose of this paper is to consider the problem of using the Value-at-Risk (VaR) technique and examine its practical implementation by Swiss Private Banks. Design/​methodology/​approach – The paper is based on a survey originally undertaken in 2003 and updated in 2005. The research results provide details on how asset and portfolio managers understand and apply VaR methodology in their daily business. Findings – From the banks' perspectives, VaR has both positive and negative points. It is like a common denominator for various risks. The reason is that VaR is used by portfolio managers as comparable risk measurement across different asset classes and business lines. Originality/​value – This analysis shows how banks can implement VaR concept more effectively through its practical implementation areas in: portfolio management decisions and asset allocation; the “what-if” modeling of candidate traders; and measuring and monitoring market risk.
  • Asset management, Banks, Financial risk, Risk analysis, Switzerland, Value analysis
  • RePEc:eme:jrfpps:v:8:y:2007:i:1:p:72-78
Language
  • English
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