Search: VAR models
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RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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Financial Intermediaries
10 Mar 2006
FSR
– March 2006
VaR models use the distribution of historical price changes to estimate the potential for future losses, relative to a confidence level. ... A confidence level of 99 per cent, for example, indicates a 99 per cent probability that losses will not exceed
https://www.rba.gov.au/publications/fsr/2006/mar/fin-intermed.html
Financial Intermediaries
10 Mar 2005
FSR
– March 2005
This is evident in the major banks' exposure to market risk through their trading operations, as measured by the average value at risk (VaR). ... Footnote. Value-at-Risk (VaR) models use the distribution of historical price changes to estimate the
https://www.rba.gov.au/publications/fsr/2005/mar/fin-intermed.html
Box A: Effects of Low Yields on Life Insurers and Pension Funds
20 Oct 2015
FSR
– October 2015
Funding ratios below 100 per cent typically indicate underfunding and, if persistent, can signal that business models need to change to ensure that liabilities can be met when they fall due. ... Life insurance firms and defined benefit pension funds have
https://www.rba.gov.au/publications/fsr/2015/oct/box-a.html
At a Glance: Financial Stability Review – April 2023
6 Apr 2023
FSR
At a Glance. Some banks overseas have failed because of weaknesses in their business models and poor risk-management practices.
https://www.rba.gov.au/publications/fsr/2023/apr/
List of tables
10 Sep 2004
FSR
– September 2004
a) Value at risk (VaR) calculated using a 99 per cent confidence interval and one-day holding period. ... VaR in their recent financial statements.
https://www.rba.gov.au/publications/fsr/2004/sep/tables.html
Resilience of the Australian Financial System
6 Oct 2023
FSR
– October 2023
Resilience of the Australian Financial System | Financial Stability Review – October 2023
https://www.rba.gov.au/publications/fsr/2023/oct/australian-financial-system.html
The Australian Financial System
6 Apr 2023
FSR
– April 2023
The Australian Financial System | Financial Stability Review – April 2023
https://www.rba.gov.au/publications/fsr/2023/apr/australian-financial-system.html
The Global and Macro-financial Environment
6 Oct 2023
FSR
– October 2023
The Global and Macro-financial Environment | Financial Stability Review – October 2023
https://www.rba.gov.au/publications/fsr/2023/oct/global-financial-environment.html
Overview
6 Apr 2023
FSR
– April 2023
Overview | Financial Stability Review – April 2023
https://www.rba.gov.au/publications/fsr/2023/apr/overview.html
Box E: The 2018 Financial Sector Assessment Program (FSAP) Review of Australia
12 Apr 2019
FSR
– April 2019
By using a common approach (such as applying its own stress testing model), the IMF can compare local frameworks to global best practices. ... A key element of an FSAP review is a stress test of the domestic banking system, using the IMF's ‘top down’
https://www.rba.gov.au/publications/fsr/2019/apr/box-e.html