Inspired by my internship experience this dissertation explores the role of Value at Risk (VaR) in managing market risk, focusing on its effectiveness, limitations, and application in modern financial institutions. Various methodologies to calculate the VaR are analysed and empirical results are compared.

Analysis of the Value-at-Risk in the Market Risk Management Framework

BONFIGLIOLI, MARGHERITA
2023/2024

Abstract

Inspired by my internship experience this dissertation explores the role of Value at Risk (VaR) in managing market risk, focusing on its effectiveness, limitations, and application in modern financial institutions. Various methodologies to calculate the VaR are analysed and empirical results are compared.
2023
Analysis of the Value-at-Risk in the Market Risk Management Framework
VaR
Risk Management
Finance
Lauree magistrali
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/20.500.12608/79856