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| Hedging with VaR A brief article on the implementation of a hedging strategy using value at risk; written by Alvin Kuruc and Bernard Lee at Infinity, a SunGard Company. |   |
Stressing Out An article by Carol Bere, which argues that value at risk and stress testing, while not ideal, are the best available tools to manage derivatives risk. |   | |
A Comparison of Value at Risk Approaches and Their Implications for Regulators A working paper by Gabriela de Raaji and Burkhard Raunig of the Oesterreichische Nationalbank. |   | |
Value at Risk and Derivatives Risk A working paper by Eric Falkenstein, which argues that operational risk is much more important to derivatives trading operations, although value at risk does have a role in the risk management process. |   | |
Something to Show for VAR An explanation of implementing value at risk, using foreign exchange hedging as an example. |   | |
Approximation of Profit-and-Loss Distributions: Part 2 of 2 Analysis of weaknesses in the traditional value at risk models. |   | |
Non-Linear Value at Risk Information on the improvement of linear value at risk (VaR) models to incorporate portfolios. |   | |
From Risk Measurement to Risk Management with FEA VaRworks Manual on Monte Carlo simulation, variance-covariance VaR theory and extreme value theory written by Carlos Blanco of Financial Engineering Associates. |   | |
The Extreme Value Approach to VaR (Part 2 of 4) Part two in a series of articles concerning the application of extreme value theory to value at risk (VaR). |   | |
Value at Risk and Maximum Loss Optimization Adjustment to the traditional value at risk model by G. Studer of ETH-Zurich. |   | |
Taking VAR to Pieces Analysis of component value at risk (CVaR). |   | |
Value at Risk Analysis of a Leveraged Swap A working paper by Sanjay Srivastave that examines whether value at risk would have warned of impending danger in the Procter & Gamble interest rate swap losses of 1993-1994. |   | |
Analytical Value-At-Risk with Jumps and Credit Risk A working paper by Darrell Duffie and Jun Pan of the Graduate School of Business at Stanford Unidversity. |   | |
How Good is Your VaR? Using Backtesting to Assess System Performance Article by Carlos Blanco and Geoffrey Ihle describing the use of backtesting to evaluate VAR system performance. |   | |
Estimating Value at Risk With a Precision Measure By Combining Kernel Estimation With Historical Simulation A 1997 working paper by J.S. Butler and Barry Scha.chter |   | |
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