[email protected] (Value at risk)

[email protected]: Explain in your own words what is ‘Value at Risk’? Using an assumed example, show how this concept helps financial institutions manage interest rate risk? What are its uses and advantages? What are its limitations? How reliable is this measure? Is Expected Shortfall a more optimal measure for Bank’s capital? Why or Why not? How do we address the shortcomings of Expected Shortfall?

Between one and two pages. Quality, rather than quantity will be rewarded.(Times New Roman 11 font size; 1.5 spacing)Please be very precise, specific and direct in your answers. Wherever required use equations/formula, and graphs/diagrams; be sure to identify the different variables. In calculations, approximate to two decimal places.

Sample Solution

ACED ESSAYS