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Evaluating Value-at-Risk (VaR)
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Value-at-Risk (VaR) has been central to the measurement and management of market risk for banks since the 1990s. VaR’s internal control function, its reporting role, and its use in determining market risk regulatory capital means it has the potential to influence risk-taking behaviour of banks with clear societal implications. It was a key measure of market risk that in failing to prevent the financial crisis in 2008, was implicated “The number that killed us” (Triana 2011). In response to the financial crisis, regulators have developed a new framework to measure market risk and determine the appropriate level of capital required. This piece of regulation is called the Fundamental Review of the Trading Book (FRTB) and the headline change is the replacement of VaR with a calculative framework based upon Expected Shortfall (ES). However, banks have indicated that they will continue to use VaR for internal risk management purposes. A relatively simple measure with such significant societal risk is worth exploring in order to discover how it became so ubiquitous and powerful and why practitioners intend to continue to use it despite its replacement under FRTB.
Orla McCullagh, Accounting and Finance, University of Limerick, delivers their 'Thesis in 3' presentation on "Evaluating VaR".
About Thesis in Three:
18 finalists were selected from Faculty heats that were held with students from University of Limerick, Mary Immaculate College and Limerick Institute of Technology who are members of the Federated Limerick Graduate School (FLGS). These Masters and Doctoral research students are challenged to present their research in three minutes, using 3 slides, to a non-specialist audience. Entrants must refine their niche subjects and in-depth research into bite-sized presentations that will engage and inform their fellow students, the wider UL community and the general public.
Orla McCullagh, Accounting and Finance, University of Limerick, delivers their 'Thesis in 3' presentation on "Evaluating VaR".
About Thesis in Three:
18 finalists were selected from Faculty heats that were held with students from University of Limerick, Mary Immaculate College and Limerick Institute of Technology who are members of the Federated Limerick Graduate School (FLGS). These Masters and Doctoral research students are challenged to present their research in three minutes, using 3 slides, to a non-specialist audience. Entrants must refine their niche subjects and in-depth research into bite-sized presentations that will engage and inform their fellow students, the wider UL community and the general public.