To VaR, or Not to VaR, That is the Question

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Tác giả: Victor Olkhov

Ngôn ngữ: eng

Ký hiệu phân loại: 759.493 Historical, geographic, persons treatment

Thông tin xuất bản: 2021

Mô tả vật lý:

Bộ sưu tập: Metadata

ID: 166032

Comment: 11 pagesWe consider economic obstacles that limit the reliability and accuracy of value-at-risk (VaR). Investors who manage large market transactions should take into account the impact of the randomness of large trade volumes on predictions of price probability and VaR assessments. We introduce market-based probabilities of price and return that depend on the randomness of market trade values and volumes. Contrary to them, the conventional frequency-based price probability describes the case of constant trade volumes. We derive the dependence of market-based price volatility on the volatilities and correlation of trade values and volumes. In the coming years, that will limit the accuracy of price probability predictions to Gaussian approximations, and even the forecasts of market-based price volatility will be inaccurate and highly uncertain.
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