nikogeorgiev
Member
Hi David,
This may be a stupid question but I will ask anyways.
I am reading this book that explains a method awfully similar to VAR.
Risk equivalent exposure (REE) is a measure for what a bank can expect to lose at any single time with some degree of certainty. It is a function of Risk factor and the Notional principal.
Risk factor is calculated exactly as VAR RF = z*sigma*sqrt(t) hence REE is N*RF
Is this an old terminology or I completely lost the plot. The book I am reading is old (1997) but it is very good explaining risk in details
many thanks
This may be a stupid question but I will ask anyways.
I am reading this book that explains a method awfully similar to VAR.
Risk equivalent exposure (REE) is a measure for what a bank can expect to lose at any single time with some degree of certainty. It is a function of Risk factor and the Notional principal.
Risk factor is calculated exactly as VAR RF = z*sigma*sqrt(t) hence REE is N*RF
Is this an old terminology or I completely lost the plot. The book I am reading is old (1997) but it is very good explaining risk in details
many thanks
