Value at Risk: Univariate Estimation Methods
Roman R.
Value-at-Risk (VaR) is one of the most commonly used risk measures in the financial industry1 in part thanks to its simplicity - because VaR reduces the market risk associated with any portfolio to just one number2 - and in part due to regulatory requirements (Basel market risk frameworks34, SEC Rule 18f-45…). Nevertheless, when it comes to actual computations, the above definition is by no means constructive1 and accurately estimating VaR is a very challenging statistical problem2 for which sev