.... Risk management Regulation Value analysis Value at risk (VaR) is an estimate of the worse possible monetary loss from a financial investment over a future time‐period (e.g. one‐day, one‐month). For most financial investments, the return over a future period (e.g. the one‐day percent return...

... can be contacted at: vinay@seattleu.edu © Emerald Group Publishing Limited 2006 Disclosure Value analysis Capital Previous studies have established that the failure of the hedge fund, long‐term capital management (LTCM), was associated with significant negative abnormal returns...