TY - JOUR
T1 - VaR
T2 - The state of play
AU - Pearson, Neil D.
AU - Smithson, Charles
PY - 2002
Y1 - 2002
N2 - Since "Value at Risk" (VaR) received its first wide introduction in the July 1993 Group of Thirty report, the number of users of-and uses for-VaR have increased dramatically. However, VaR itself has been evolving. In this article, we will first review some of the important refinements in VaR that have appeared-improved speed of computation, improved accuracy, and improved stress testing. We then look at the "next steps" (which we refer to as "Beyond VaR"), in which we review extensions to standard VaR, the emergence of "risk contribution" measures, and alternatives to standard VaR (including Extreme Value Theory [EVT] and Coherent Risk Measures).
AB - Since "Value at Risk" (VaR) received its first wide introduction in the July 1993 Group of Thirty report, the number of users of-and uses for-VaR have increased dramatically. However, VaR itself has been evolving. In this article, we will first review some of the important refinements in VaR that have appeared-improved speed of computation, improved accuracy, and improved stress testing. We then look at the "next steps" (which we refer to as "Beyond VaR"), in which we review extensions to standard VaR, the emergence of "risk contribution" measures, and alternatives to standard VaR (including Extreme Value Theory [EVT] and Coherent Risk Measures).
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U2 - 10.1016/S1058-3300(02)00045-9
DO - 10.1016/S1058-3300(02)00045-9
M3 - Article
AN - SCOPUS:0036396181
SN - 1058-3300
VL - 11
SP - 175
EP - 189
JO - Review of Financial Economics
JF - Review of Financial Economics
IS - 3
ER -