Handbooks for Professionals in the Commodity & Energy Markets

Upgrade your knowledge now

Value at Risk

Quantification of exposures, stress tests, mandates & limit structures

There are several methods and techniques to quantify market risk. The disadvantage of most of the techniques is that they can only be applied to a specific product or a particular group of financial instruments. Therefore, outcomes cannot be compared, nor can numbers be consolidated in a single standard to report on portfolio level. However, the value at risk methodology does make this possible. Under this regime, risk is expressed in comparable numbers and can be consolidated in a single figure.

In addition to value at risk calculations, stress testing is performed to compensate for the limitations of the value at risk method. After all, risk management aims to control the business on regular days, but also in case of irregularities. Event risk needs to be identified, assessed and controlled.

24.95

Name Range Discount
Quantity Discounts 21 - 50 5 %
Quantity Discounts 51 - 100 10 %
Quantity Discounts 101 - 200 15 %
Quantity Discounts 200 - 5000 20 %
Category:

Description

There are several methods and techniques to quantify market risk. The disadvantage of most of the techniques is that they can only be applied to a specific product or a particular group of financial instruments. Therefore, outcomes cannot be compared, nor can numbers be consolidated in a single standard to report on portfolio level. However, the value at risk methodology does make this possible. Under this regime, risk is expressed in comparable numbers and can be consolidated in a single figure.

In addition to value at risk calculations, stress testing is performed to compensate for the limitations of the value at risk method. After all, risk management aims to control the business on regular days, but also in case of irregularities. Event risk needs to be identified, assessed and controlled.

Stay up to date on new releases? Register below!