Value at Risk, a widely used risk measure of the risk of loss on a specific portfolio of financial assets.

learn more… | top users | synonyms

7
votes
2answers
5k views

Is there a step-by-step guide for calculating portfolio VaR using monte carlo simulations

I am trying to determine a step-by-step algorithm for calculating a portfolio's VaR using monte carlo simulations. It seems to me that the literature for this is extraordinarily opaque for something ...
8
votes
3answers
2k views

How does Cornish-Fisher VaR (aka modified VaR) scale with time?

I am thinking about the time-scaling of Cornish-Fisher VaR (see e.g. page 130 here for the formula). It involves the skewness and the excess-kurtosis of returns. The formula is clear and well ...
14
votes
5answers
6k views

portfolio optimisation with VaR (or CVaR) constraints

I would like to optimize a portfolio allocation (maximizing the exposure or the expected return), but with VaR or CVaR contraints. (some parts of my portfolio cannot exceed a certain VaR) How can I ...
7
votes
4answers
454 views

Are these steps correct to calculate Value-at-Risk with a Monte Carlo simulation?

I have a problem calculating VaR with the Monte Carlo Simulation. I followed the next steps and would like know if it is a right way to calculate VaR or if I need something more? The steps ...
14
votes
1answer
361 views

What approaches are there for stress testing a portfolio?

Wikipedia lists three of them: Extreme event: hypothesize the portfolio's return given the recurrence of a historical event. Current positions and risk exposures are combined with the historical ...
1
vote
1answer
2k views

Historical Value At Risk on option portfolio

I am new to Value at Risk subject in fact everything related to quant. Can any body validate the Value at Risk Model on the option price ? I am using a below explained approach . our portfolio ...
3
votes
0answers
395 views

VaR backtesting with overlapping time intervals

Of course the issue here is dependence: can it be removed or accounted for (in independence tests too, which of course would be troublesome)? There's a lot of literature on regression in this setting, ...