Given the increase in market volatility a sharp increase in Value-At-Risk (VaR) or the related tail risk metric Conditional VaR (CVaR) was largely expected due to the COVID-19 pandemic, but the magnitude of the increase for some markets has been beyond expectation. In this article we look at how best to deal with this volatility and cover model parameters, calibration and validation as well as VaR calculation and VaR explain.
Deloitte’s Jeff Reynolds, Chris Collins and Laurie Brownshare actions to make sense of how to manage calculated Value-At-Risk (VaR) numbers versus management and board risk limits.
Given the increase in market volatility due to the COVID-19 pandemic a sharp increase in Value-At-Risk (VaR) or the related tail risk metric Conditional VaR (CVaR) was largely expected, but the magnitude of the increase for some markets has been beyond expectation.
In this article we look at how best to deal with this volatility and cover model parameters, calibration and validation as well as VaR calculation and ‘VaR explain’ analysis.