Value-at-Risk Measurement Methods
Über den Vortrag
Der Vortrag „Value-at-Risk Measurement Methods“ von Edu Pristine ist Bestandteil des Kurses „Archiv - Valuation and Risk Models“. Der Vortrag ist dabei in folgende Kapitel unterteilt:
- Value-at-Risk Measurement Methods
- Delta Normal VAR: Linear and Non-Linear Assets
- Delta Normal VAR: VaR for Linear Derivatives
- Delta Normal VAR: VaR for Non-Linear Derivatives
- Question 6
- Question 7
Dozent des Vortrages Value-at-Risk Measurement Methods
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.
http://www.edupristine.com
Kundenrezensionen
5,0 von 5 Sternen
| 5 Sterne |
|
5 |
| 4 Sterne |
|
0 |
| 3 Sterne |
|
0 |
| 2 Sterne |
|
0 |
| 1 Stern |
|
0 |
Auszüge aus dem Begleitmaterial
... Linear Valuation Method. Full Revaluation Method ...
... When the value of the delta keeps on changing with the change in the underlying asset. -Options are non-linear assets, where delta normal method can not be used as they assume the linear. Edu Pristine: For VaR-I (Confidential). 1: -Options are non-linear assets, where delta-normal method can not be used as they assume the linear payoff of the assets. -To calculate the VAR for non-linear assets, full ...
... at 5% of Nikkei is USD 0.8 mn and you have 100 lots ...
... in the Index Nikkei, the futures price will change by 100 units because ...
... the value of the put option at 110 is 20. 10 units change in the underlying brings in ...
... Operational risk takes into account the errors that can be made in instructing payments or settling transactions •Liquidity risk is caused by an unexpected large and stressful negative cash flow over a short period •Market risk estimates the uncertainty of future earnings, due to the changes in market conditions ...
... of those 100 days there © EduPristine For VaR-I (Confidential) Say the 95% daily VAR of your assets is $120, then it means that out of those 100 days, there would be 95 days when your daily loss would be less than $120. This implies that during 5 days you may ...
... The colored area of the normal curve constitutes 5% of the total ...
... σ: standard deviation (volatility) of the asset (or portfolio) VAR in absolute terms is given as the product of VAR in % and Asset Value: This can also be written ...
... of number of periods( n). n * %) (in VaR %) (in VaR VaR) (daily days) (n = n * Value Asset * * Z %) (in VaR X% days) (n σ = © EduPristine For VaR-I (Confidential) As the volatility of the portfolio can be calculate ...
... What is VaR (%) at 99% ...
... the VaR value for 10 day ...
... Volatility of asset A is 5.5% and asset B is 4.25% •Portfolio VaR if correlation ...
... 10.78%; VaR(B)(in %) = 4.25 x 1.96 = 8.33%; Portfolio VaR ...
... 10 mn Daily variance is 0.0005 ...
... VaR = 0.36895 x (250)0.5 = 5.834 mn ...
... what is the VaR if:• VaR asset A is ...
... The method to calculate VAR for linear assets is called Delta Normal method •Delta Normal method assumes that the variables are normally distributed Non Linear: When the value of the delta keeps on changing with the change in the underlying asset ...
... For example: The permitted lot size of S&P CNX Nifty futures contracts is 200 and multiples thereof. So VAR of Nifty Futures contract ...
... Computationally easy, but may be less accurate. The delta-normal approach (generally) does not work for portfolios of nonlinear securities. Option Price value B Slope = delta Asset/Stock price © EduPristine For VaR-I (Confidential) 21 work for portfolios of nonlinear securities. E.g.; Options VAR = Delta of Option * (VaR at ...
...Calculate annual VaR at 95% confidence for your ...
... USD 1264.911 mn Here, delta = 100, because for every 1 unit change ...
... change of 4 units change in the option premium. If the annual volatility is 0.25. Calculate daily ...
... 0.0158; Daily VaR = 100 x 0.0158 x 1.96 = ...
