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Accounting for Value at Risk in Financial Institutions' Portfolios

KEVIN DOWD (Professor of financial risk management at the Nottingham University Business School in the U.K.)

Journal of Risk Finance

ISSN: 1526-5943

Article publication date: 1 April 2000

474

Abstract

One of the most important developments in portfolio risk management in the 1990s was the increased use of Value at Risk (VaR). VaR has enjoyed a spectacular rise, from being largely unknown at the beginning of the 1990s, to prominence among financial institutions and, more recently, also in the corporate world. VaR is particularly useful because it measures aggregate portfolio risk by accounting for correlations between the individual risk factors in a portfolio.

Citation

DOWD, K. (2000), "Accounting for Value at Risk in Financial Institutions' Portfolios", Journal of Risk Finance, Vol. 2 No. 1, pp. 51-58. https://doi.org/10.1108/eb022946

Publisher

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MCB UP Ltd

Copyright © 2000, MCB UP Limited

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