Putting VaR to Work
Über den Vortrag
Der Vortrag „Putting VaR to Work“ von Edu Pristine ist Bestandteil des Kurses „Archiv - Valuation and Risk Models“. Der Vortrag ist dabei in folgende Kapitel unterteilt:
- Full Valuation Method
- Historical Simulation
- Monte Carlo Simulation
- Comparison between Methods
- Visualizing WCS
- Stress Testing
- Sceneraio Analysis
Dozent des Vortrages Putting VaR to Work
Edu Pristine
Trusted by Fortune 500 Companies and 10,000 Students from 40+ countries across the globe, EduPristine is one of the leading International Training providers for Finance Certifications like FRM®, CFA®, PRM®, Business Analytics, HR Analytics, Financial Modeling, Operational Risk Modeling etc. It was founded by industry professionals who have worked in the area of investment banking and private equity in organizations such as Goldman Sachs, Crisil - A Standard & Poors Company, Standard Chartered and Accenture.EduPristine has conducted corporate training for various leading corporations and colleges like JP Morgan, Bank of America, Ernst & Young, Accenture, HSBC, IIM C, NUS Singapore etc. EduPristine has conducted more than 500,000 man-hours of quality training in finance.
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Auszüge aus dem Begleitmaterial
... scenarios over a time period. It can be used to cover a large range of values of the portfolio returns in order to provide more accurate re sults. It generally provides more accurate results compared to ...
... model risk. © EduPristine For VaR-I (Confidential) 63 The biggest drawback with the Historical Simulation method is that the changes in volatility and correlation from structural changes are not recognized . We have an asset with ordered simulated price returns as belo w for ...
... is a non Linear derivative whose payoff in creases with the increase in the volatility. Also delta normal VAR increases with the increase ...
... Decomposes the covariance matrix and ensures that the risk f actors are correlated in each scenario. The scenarios start from today's market condition and go one day forward to give possible values at the end of the day. Full, nonlinear pricing models are then used to value the portfolio ...
... Historical VaR, it can generate an infinite number of scenarios and therefore test many possible future outcomes. Disadvantages: The calculation of Monte Carlo VaR can take 1,000 times longer than Parametric VaR ...
... major factor, the delta normal method is fast and efficient. For portfolios with substantial non-linear ...
