Value-at-Risk is the maximum amount of money that may be lost on a portfolio on average over a given period of time, with a given confidence interval under normal circumstances. For traders this period of time, or holding period, can be a day or less. SAS/IML is used with Base SAS and Oracle to produce a system to calculate value at risk with the flexibility to reflect changes in the database in the calculation and reporting. Value at risk is calculated using Monte Carlo simulation. The overall process is covered and aspects of the calculation are highlighted. Finally, the impact of the results on the Enterprise is outlined.
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