Approaches to VaR∗
نویسندگان
چکیده
Referring to related documents and papers, we implement several different approaches to compute the VaR of a delta-hedged portfolio constructed by 41 stocks and corresponding options. First we interpreted the concepts and techniques involved with our study. Then we discussed the details about both Historical Simulation and Monte Carlo Simulation, and pointed out their shortcomings through experiments. Resorting to more sophisticated theory, we applied both Unfiltered and Filtered Historical Simulation with different distribution assumptions (normal, t, GPD), sampling methods (bootstrap, empirical, MLE) and model options (GARCH, GJR, EGARCH). Comparing each method based on the results of backtesting, we drew various conclusions on the surface and analyzed their fundamental reasons for deeper understanding. Further we describe some future work to complement our study.
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