Tous les livres

Professionnel

Applis À propos Coach Connexion Commencer la lecture

Quantitative Finance · Glossaire

Qu'est-ce que « VaR exception » ?

Definition 21.14 Rates, Credit, XVA and Risk · Chapitre 21 — Market-Risk Measures

A VaR exception is a day on which the realised (or hypothetical) loss exceeds the VaR computed the day before. A correct 99% model has exceptions on 1% of days, independently.

Lire dans le chapitre →