Summary |
The advent of VAR as a generally- accepted methodology for quantifying market risk and its subsequent embrace by bank regulators are milestones in the evolution of risk management. KPMG is pleased to join with the publishers of Risk in presenting this collection of significant papers that trace the development of VAR, its applications and its future role.
This book includes a number of articles that have appeared before in Risk, as well as important selections from academic and practitioner journals and news papers which are published here for the first time. The material is organised into four sections in a way that shows the history of the process: how VAR was developed, assessed and improved and, finally, how it is deployed in the marketplace. The papers are intended not simply to outline the mechanics of VAR, but to prepare readers for an active role in its ongoing assessment, the discovery of new applications, and the development of broader risk management frameworks to make the most of this powerful tool.
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