Almost three-quarters of European lenders use the historical simulation (HS) approach to model their market risks, the latest supervisory benchmarking exercise (SVB) by the bloc’s banking watchdog ...

Learn what Value at Risk is, what it indicates about a portfolio, its pros and cons, and how to calculate the VaR of a portfolio using Microsoft Excel.

Almost three-quarters of European lenders use the historical simulation (HS) approach to model their market risks, the latest supervisory benchmarking exercise (SVB) by the bloc’s banking watchdog ...