Simulation-based Value-at-Risk for nonlinear portfolios
نویسندگان
چکیده
منابع مشابه
Worst-Case Value at Risk of Nonlinear Portfolios
Portfolio optimization problems involving Value-at-Risk (VaR) are often computationally intractable and require complete information about the return distribution of the portfolio constituents, which is rarely available in practice. These difficulties are compounded when the portfolio contains derivatives. We develop two tractable conservative approximations for the VaR of a derivative portfoli...
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ارزش در معرض ریسک یکی از مهمترین معیارهای اندازه گیری ریسک در بنگاه های اقتصادی می باشد. برآورد دقیق ارزش در معرض ریسک موضوع بسیارمهمی می باشد و انحراف از آن می تواند موجب ورشکستگی و یا عدم تخصیص بهینه منابع یک بنگاه گردد. هدف اصلی این مطالعه بررسی کارایی روش copula-garch شرطی در برآورد ارزش در معرض ریسک پرتفویی متشکل از دو سهام می باشد و ارزش در معرض ریسک بدست آمده با روشهای سنتی برآورد ارزش د...
Value at Risk bounds for portfolios of non-normal returns
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Financial risks can be broadly classified into several categories, namely market risk, credit risk, liquidity risk, operational risk, and legal risk [1]. Market risk is the risk of loss arising from changes in the value of tradable or traded assets. Credit risk is the risk of loss due to the failure of the counterparty to pay the promised obligation. Liquidity risk is the risk of loss arising f...
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Jamshidian and Zhu (1997) propose a discrete grid method for simplifying the computation of Value at Risk (VaR) for fixed-income portfolios. Their method relies on two simplifications. First, the value of fixed income instruments is modeled as depending on a small number of risk factors chosen using principal components analysis. Second, they use a discrete approximation to the distribution of ...
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2019
ISSN: 1469-7688,1469-7696
DOI: 10.1080/14697688.2019.1598568