Value‐at‐risk concept by Swiss private banks

Abstract

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.

Citation

Rogachev, A. (2007), "Value‐at‐risk concept by Swiss private banks", Journal of Risk Finance, Vol. 8 No. 1, pp. 72-78. https://doi.org/10.1108/15265940710721091