Download or read book Value at Risk for Non linear Portfolios with Non normal Financial Returns written by Xuping Zhang and published by . This book was released on 2002 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Value at Risk Bounds for Portfolios of Non Normal Returns written by Elisa Luciano and published by . This book was released on 2001 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies Value at Risk (VaR) bounds for sums of stochastically dependent random variables, i.e. portfolios of correlated financial assets. The bounds hold under no restrictions on the dependence or on the marginal distributions of returns. An improvement of the bounds is given for positive (quadrant) dependent rvs. Both sets of bounds are computed for portfolios of 6 international indices. Backtesting confirms the usefulness of the approach, even with respect to other shortcuts, such as the normality assumption. For small portfolios, bounds are not over conservative.
Download or read book Value at Risk 3rd Ed written by Philippe Jorion and published by McGraw Hill Professional. This book was released on 2006-11-09 with total page 624 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since its original publication, Value at Risk has become the industry standard in risk management. Now in its Third Edition, this international bestseller addresses the fundamental changes in the field that have occurred across the globe in recent years. Philippe Jorion provides the most current information needed to understand and implement VAR-as well as manage newer dimensions of financial risk. Featured updates include: An increased emphasis on operational risk Using VAR for integrated risk management and to measure economic capital Applications of VAR to risk budgeting in investment management Discussion of new risk-management techniques, including extreme value theory, principal components, and copulas Extensive coverage of the recently finalized Basel II capital adequacy rules for commercial banks, integrated throughout the book A major new feature of the Third Edition is the addition of short questions and exercises at the end of each chapter, making it even easier to check progress. Detailed answers are posted on the companion web site www.pjorion.com/var/. The web site contains other materials, including additional questions that course instructors can assign to their students. Jorion leaves no stone unturned, addressing the building blocks of VAR from computing and backtesting models to forecasting risk and correlations. He outlines the use of VAR to measure and control risk for trading, for investment management, and for enterprise-wide risk management. He also points out key pitfalls to watch out for in risk-management systems. The value-at-risk approach continues to improve worldwide standards for managing numerous types of risk. Now more than ever, professionals can depend on Value at Risk for comprehensive, authoritative counsel on VAR, its application, and its results-and to keep ahead of the curve.
Download or read book Comparative Analysis of Value at Risk VAR Methods for Portfolio with Non Linear Return written by Manohar Lal and published by . This book was released on 2013 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study various value at risk methods such as Historical Simulation, Variance-Covariance Approach and Monte Carlo Simulation are calculated, compared and tested for accuracy. Backtesting for the VaR methods is applied to check the accuracy of the VaR methods. The portfolio includes equally weighted three banking stock and one at-the-money (ATM) call option for one of the banking stock in the portfolio. The log return for the portfolio and individual investments are calculated. Different VaR calculation methods are used to calculate the downside risk of the portfolio and individual investments. VaR is calculated at 95% and 99% confidence level for the portfolio and individual securities. The value at risk for the portfolio at 95% confidence level from all the three methods are within the defined level of downside risk, while at 99% confidence level only Mote Carlo Simulation method provides good approximation of downside risk for a portfolio with options. Thus from this study it is inferred that for instrument or portfolio with non-linear return structure Monte Carlo simulation method provide good approximation of the downside risk.
Download or read book Measuring Market Risk written by Kevin Dowd and published by John Wiley & Sons. This book was released on 2003-02-28 with total page 395 pages. Available in PDF, EPUB and Kindle. Book excerpt: The most up-to-date resource on market risk methodologies Financial professionals in both the front and back office require an understanding of market risk and how to manage it. Measuring Market Risk provides this understanding with an overview of the most recent innovations in Value at Risk (VaR) and Expected Tail Loss (ETL) estimation. This book is filled with clear and accessible explanations of complex issues that arise in risk measuring-from parametric versus nonparametric estimation to incre-mental and component risks. Measuring Market Risk also includes accompanying software written in Matlab—allowing the reader to simulate and run the examples in the book.
Download or read book Problems of Value At Risk A Critical View written by Alexander Melichar and published by GRIN Verlag. This book was released on 2010-11-30 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2009 in the subject Business economics - Controlling, grade: 1,5, University of Innsbruck (Institut für Banken und Finanzen), course: Seminar SBWL Risk Management, language: English, abstract: This seminar paper is divided in the following chapters: 1. Definition of Value at Risk: What is VaR, several definitions of this figure. 2. The three common approaches for calculating Value at Risk: Historical simulation, Monte Carlo simulation, Variance-Covariance model. 3. The critical view: Problems and limitations of Value at Risk. Which approach can be meaningfully used and when not? Why is Value at Risk not the "only truth" in financial institutions? What are the strengths and weaknesses of the several approaches in calculating Value at Risk?
Download or read book Mastering Value at Risk written by Cormac Butler and published by Financial Times/Prentice Hall. This book was released on 1999 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: Value at Risk (VAR) is rapidly emerging as the dominant methodology for estimating precisely how much money is at risk each day in the financial markets. This book provides an objective view of VAR, analyzing its pitfalls and benefits.
Download or read book Market Risk Analysis Value at Risk Models written by Carol Alexander and published by John Wiley & Sons. This book was released on 2009-02-09 with total page 503 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the Market Risk Analysis four volume set. Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. It rests on the basic knowledge of financial mathematics and statistics gained from Volume I, of factor models, principal component analysis, statistical models of volatility and correlation and copulas from Volume II and, from Volume III, knowledge of pricing and hedging financial instruments and of mapping portfolios of similar instruments to risk factors. A unifying characteristic of the series is the pedagogical approach to practical examples that are relevant to market risk analysis in practice. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Parametric linear value at risk (VaR)models: normal, Student t and normal mixture and their expected tail loss (ETL); New formulae for VaR based on autocorrelated returns; Historical simulation VaR models: how to scale historical VaR and volatility adjusted historical VaR; Monte Carlo simulation VaR models based on multivariate normal and Student t distributions, and based on copulas; Examples and case studies of numerous applications to interest rate sensitive, equity, commodity and international portfolios; Decomposition of systematic VaR of large portfolios into standard alone and marginal VaR components; Backtesting and the assessment of risk model risk; Hypothetical factor push and historical stress tests, and stress testing based on VaR and ETL.
Download or read book The Handbook of Risk written by IMCA and published by John Wiley & Sons. This book was released on 2003-06-03 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: The ultimate source for risk management information Before entering into any investment, the risk of that venture must be identified and quantified. The Handbook of Risk provides in-depth coverage of risk from every possible angle and illuminates the subject by covering the quantitative and and behavioral issues faced by investment professionals on a day-to-day basis. This valuable reference offers a prescriptive and descriptive treatment of risk management for those looking to control, contain, and minimize the risk of their investments. The Handbook of Risk is also a perfect companion for professionals looking to complete IMCA certification courses. Ben Warwick (Denver, CO) is the "Market View" columnist for worldlyinvestor.com and Chief Investment Officer of Sovereign Wealth Management, Inc. He has written numerous books, including The WorldlyInvestorGuide to Beating the Market (Wiley: 0471215317), and Searching for Alpha (Wiley: 0471348228). IMCA (The Investment Management Consultants Association) is a professional association established in 1990 that represents the investment consulting profession in the United States and Canada. Over the years, financial professionals around the world have looked to the Wiley Finance series and its wide array of bestselling books for the knowledge, insights, and techniques that are essential to success in financial markets. As the pace of change in financial markets and instruments quickens, Wiley Finance continues to respond. With critically acclaimed books by leading thinkers on value investing, risk management, asset allocation, and many other critical subjects, the Wiley Finance series provides the financial community with information they want. Written to provide professionals and individuals with the most current thinking from the best minds in the industry, it is no wonder that the Wiley Finance series is the first and last stop for financial professionals looking to increase their financial expertise.
Download or read book Estimation and Decomposition of Downside Risk for Portfolios with Non Normal Returns written by Kris Boudt and published by . This book was released on 2012 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modied Value at Risk (VaR) is an estimator of VaR based on the Cornish-Fisher expansion. It is fast to compute and reliable for non-normal returns. In this paper, we introduce modified Expected Shortfall as a new analytical estimator for Expected Shortfall (ES), another popular measure of downside risk. We give all the necessary formulas for computing portfolio modified VaR and ES and for decomposing these risk measures into the contributions made by each of the portfolio holdings. This new methodology is shown to be very useful for analyzing the risk properties of portfolios of alternative investments.
Download or read book Nonlinear Valuation and Non Gaussian Risks in Finance written by Dilip B. Madan and published by Cambridge University Press. This book was released on 2022-02-03 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt: What happens to risk as the economic horizon goes to zero and risk is seen as an exposure to a change in state that may occur instantaneously at any time? All activities that have been undertaken statically at a fixed finite horizon can now be reconsidered dynamically at a zero time horizon, with arrival rates at the core of the modeling. This book, aimed at practitioners and researchers in financial risk, delivers the theoretical framework and various applications of the newly established dynamic conic finance theory. The result is a nonlinear non-Gaussian valuation framework for risk management in finance. Risk-free assets disappear and low risk portfolios must pay for their risk reduction with negative expected returns. Hedges may be constructed to enhance value by exploiting risk interactions. Dynamic trading mechanisms are synthesized by machine learning algorithms. Optimal exposures are designed for option positioning simultaneously across all strikes and maturities.
Download or read book Modern Portfolio Optimization with NuOPTTM S PLUS and S BayesTM written by Bernd Scherer and published by Springer Science & Business Media. This book was released on 2007-09-05 with total page 422 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years portfolio optimization and construction methodologies have become an increasingly critical ingredient of asset and fund management, while at the same time portfolio risk assessment has become an essential ingredient in risk management. This trend will only accelerate in the coming years. This practical handbook fills the gap between current university instruction and current industry practice. It provides a comprehensive computationally-oriented treatment of modern portfolio optimization and construction methods using the powerful NUOPT for S-PLUS optimizer.
Download or read book Risk and Portfolio Analysis written by Henrik Hult and published by Springer Science & Business Media. This book was released on 2012-07-20 with total page 343 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investment and risk management problems are fundamental problems for financial institutions and involve both speculative and hedging decisions. A structured approach to these problems naturally leads one to the field of applied mathematics in order to translate subjective probability beliefs and attitudes towards risk and reward into actual decisions. In Risk and Portfolio Analysis the authors present sound principles and useful methods for making investment and risk management decisions in the presence of hedgeable and non-hedgeable risks using the simplest possible principles, methods, and models that still capture the essential features of the real-world problems. They use rigorous, yet elementary mathematics, avoiding technically advanced approaches which have no clear methodological purpose and are practically irrelevant. The material progresses systematically and topics such as the pricing and hedging of derivative contracts, investment and hedging principles from portfolio theory, and risk measurement and multivariate models from risk management are covered appropriately. The theory is combined with numerous real-world examples that illustrate how the principles, methods, and models can be combined to approach concrete problems and to draw useful conclusions. Exercises are included at the end of the chapters to help reinforce the text and provide insight. This book will serve advanced undergraduate and graduate students, and practitioners in insurance, finance as well as regulators. Prerequisites include undergraduate level courses in linear algebra, analysis, statistics and probability.
Download or read book An Introduction to Value at Risk written by Moorad Choudhry and published by John Wiley & Sons. This book was released on 2007-01-11 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt: The value-at-risk measurement methodology is a widely-used tool in financial market risk management. The fourth edition of Professor Moorad Choudhry’s benchmark reference text An Introduction to Value-at-Risk offers an accessible and reader-friendly look at the concept of VaR and its different estimation methods, and is aimed specifically at newcomers to the market or those unfamiliar with modern risk management practices. The author capitalises on his experience in the financial markets to present this concise yet in-depth coverage of VaR, set in the context of risk management as a whole. Topics covered include: Defining value-at-risk Variance-covariance methodology Monte Carlo simulation Portfolio VaR Credit risk and credit VaR Topics are illustrated with Bloomberg screens, worked examples, exercises and case studies. Related issues such as statistics, volatility and correlation are also introduced as necessary background for students and practitioners. This is essential reading for all those who require an introduction to financial market risk management and value-at-risk.
Download or read book Sensitivities of Value at Risk for Non linear Portfolios written by and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Efficient VAR and Expected Shortfall Computations for Nonlinear Portfolios Within the Delta Gamma Approach written by Luis Ortiz-Gracia and published by . This book was released on 2014 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: We present four numerical methods to compute the Value-at-Risk and Expected Shortfall risk measure values of portfolios with financial options. The numerical methods are based on either wavelets or Fourier cosine approximations and belong to the class of Fourier inversion methods. We show that the risk measures can be efficiently calculated in terms of accuracy and CPU time. Besides, we provide a theoretical result about the shape of the resulting probability density. This a priori knowledge, allows us to enhance the efficiency and effectiveness of the proposed methods. Finally, we assess the accuracy of the approach in the presence of convexity or concavity properties of the financial portfolios.
Download or read book Sensitivities of Value at Risk for Non linear Portfolios written by Smaranda Paun and published by . This book was released on 1999 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: A new hedging methodology that reduces Value at Risk by eliminating its linear sensitivities with respect to the portfolio delta and gamma is developed. We implement a numerical method that computes the sensitivities of ' V aR'. Importance sampling is used in the Monte Carlo simulation as a way of reducing the computational time and the errors in the approximations.
