Stressed Value at Risk vs Value at Risk

  • Just read some materials about SVaR. Is there only holding period that changes in comparison to VaR methodology?

  • VaR gives us an idea of possible losses given our current portfolio and the markets as they are today. The idea behind stressed VaR is to get an idea of possible losses given more worse market conditions.

    To do this we will "stress" the inputs such as volatilities, interest rates FX rates etc. Thus making them much more unfavorable than they really are.

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Content dated before 7/24/2021 11:53 AM

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