Comparing different methods for estimating value-at-risk (VaR) in emerging markets.
Wong, Kok Choy.
Date of Issue2002
College of Business (Nanyang Business School)
In the recent years, Value-at-risk (VaR) has become the standard risk measurement approach to measure market risk of financial and commodity derivative instruments and other financial instruments. VaR, though widely used by commercial bankers, derivative dealers, corporate treasury risk managers and bank regulators in many parts of the world, is still a relatively new risk management concept in the emerging markets particularly in Asia.
Nanyang Technological University