Abstract
Modern financial theory is based on several important principles, two of which are no-arbitrage and risk aversion. The single major source of profit is risk. The expected return depends heavily on the level of risk of an investment. Although the idea of risk seems to be intuitively clear, it is difficult to formalize it. Several attempts to do so have been undertaken with various degree of success. There is an efficient way to quantify risk in almost every single market. However, each method is deeply associated with its specific market and can not be applied directly to other markets. Value-at-Risk (VaR) is an integrated way to deal with different markets and different risks and to combine all of the factors into a single number, which is a good indicator of the overall risk level.
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© 1999 Springer Science+Business Media New York
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Wiener, Z. (1999). Introduction to Var (Value-At-Risk). In: Galai, D., Ruthenberg, D., Sarnat, M., Schreiber, B.Z. (eds) Risk Management and Regulation in Banking. Springer, Boston, MA. https://doi.org/10.1007/978-1-4615-5043-3_4
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DOI: https://doi.org/10.1007/978-1-4615-5043-3_4
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