value at risk
Let an agent explain value at risk and its definition, calculation methods and limitations, describe its use in regulation and risk management, present criticisms with attribution, and avoid personal investment advice.
Research draft, second pass
A second pass drafted this model: the structure a model of this thing needs, and what is known about it in the world. The line under this one says how the second half was obtained - researched against sources, or recalled without web access, in which case nothing here was read anywhere and every claim is a lead to verify. Unreviewed either way.
Researched by: Claude
Bundle → Layer → Finding → Questions Filled
4 bundles · 8 layers · 8 findings · 16 questions
Understand What value at risk is.
Concept
Concept.
Concept
Concept.
- What does value at risk state, and how do confidence level and time horizon define it? definition
- Is the user seeking personal investment advice, which must be declined? boundary
Methods
Calculation methods.
Methods
Methods.
- How do historical simulation, parametric and Monte Carlo methods compute value at risk? definition
- Which entry fits a specific method? action
Use Use in practice.
Management
Risk management.
Management
Management.
- How do banks and asset managers use value at risk in limits, reporting and capital? provenance
- Which entry fits risk management? action
Regulation
Regulation.
Regulation
Regulation.
- How have bank capital rules used value at risk, and why did regulators move toward expected shortfall? provenance
- Which entry fits banking regulation? action
Critique Limitations.
Limits
Limitations.
Limits
Limitations.
- What are the limitations of value at risk, including tail risk and model assumptions, with critiques attributed? provenance
- Is the presentation balanced? boundary
Alternatives
Alternatives.
Alternatives
Alternatives.
- How do expected shortfall and stress testing complement or replace value at risk? provenance
- Which entry fits expected shortfall? action
Learn History and teaching.
History
History.
History
History.
- How did value at risk develop in the 1990s, and what role did it play in financial crises, according to analysts? provenance
- Which references are standard? provenance
Teach
Teaching.
Teach
Teaching.
- How can value at risk be taught in finance courses? action
- Which misconceptions arise? provenance
Classifiers Filled
- Family
- Thing Registry
- Domain
- XCT.QTY
What it is Filled
A statistical measure of the potential loss in value of a portfolio or position over a given time horizon at a given confidence level, stating for example the loss that is not expected to be exceeded on ninety-nine days out of a hundred, computed by historical simulation, parametric or Monte Carlo methods, used by banks, asset managers and regulators for risk management and capital requirements, and criticised for ignoring the size of losses beyond the threshold; value at risk is described here without investment advice.
Why it exists Filled
Let an agent explain value at risk and its definition, calculation methods and limitations, describe its use in regulation and risk management, present criticisms with attribution, and avoid personal investment advice.
Distinguishing features Filled
- Confidence level
- Time horizon
- Portfolio-wide
- Regulatory role
What robots and AI may and may not do Derived, awaiting review
May
- explain definition and methods
- describe regulatory use
- present criticisms
- avoid investment advice
Note: Affordances listed as what may be done; prohibitions collected from the text.
Moral aspects Missing, in the backlog
Not described yet. This gap is in the card backlog.
Owners Missing, in the backlog
Not described yet. This gap is in the card backlog.
Links to other meta-models Filled
related
- risk metric - category
- option - instruments in portfolios measured
- economist - professionals analysing risk
- limited company - firms that report risk measures
What else AI and robots need to interact with it Incomplete
Identity and identifiers required Missing, in the backlog
Not described yet. This gap is in the card backlog.
Direct properties not applicable Not applicable
Not applicable
Plane XCT: no invented physical properties.
Recognition optional Filled
- Loss not expected to be exceeded at a confidence level over a horizon
- Historical, parametric, Monte Carlo methods
- Expected shortfall measures average loss beyond the threshold; volatility measures dispersion
- Not physical; a number.
Capabilities and actions required Filled
- explain definition and methods
- describe regulatory use
- present criticisms
- avoid investment advice
Hazards and failure modes required Filled
- Ignoring tail losses beyond the threshold
- Model risk from poor assumptions
- Agents giving personal investment advice
Standards and interfaces required Filled
- Bank capital rules using value at risk and expected shortfall
- Risk disclosure standards
- Model validation requirements
Context of use required Filled
- Loss threshold at a confidence level.
- historical simulation value at risk
- parametric value at risk
- Monte Carlo value at risk
- conditional value at risk and expected shortfall
- regulatory value at risk measures
Sources Missing, in the backlog
Not described yet. This gap is in the card backlog.
Note: Written from model knowledge without web access; claims are unverified.
Open questions
- Should expected shortfall be a separate entry?
- How should regulatory texts be linked?
- How should model methods be documented?
- Which entry fits a specific method?
- Which entry fits risk management?
- Which entry fits banking regulation?
Machine files
Provenance
thing registry research (pass 2) · unreviewed
Built from: models/things/publications/thing-q963287/spec.json