Spannende Value At Risk Berechnen Bild. Um den value at risk berechnen zu können, müssen wir uns noch kurz mit dem konfidenzniveau beschäftigen. Ist das spezifizierte konfidenzniveau, das in der regel zwischen und liegt.
Value at risk (var) has become the standard measure that financial analysts use to quantify market risk.
Var measures can have many applications. This makes the interpretation and understanding of var relatively simple. It's helpful because it can answer questions if the two positions were perfectly correlated with r=1, the vars would simply have been additive. I know that there are cases where var does not satisfy the subadditivity property (coherent risk measure properties) for coherent risk measures.