Questions tagged [value-at-risk]

Value-at-Risk is a family of measures used to help the owner of a position to assess its "worst case value".

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Fitting a Copula with GARCH volatility to stock returns

I have the log-returns $r_{n,t}$ for 3 stocks, $n=1,2,3$, and $t=1,..,T=365$ days, and I want to model the expected shortfall given arbitrary positions on those stocks. I calibrate the GARCH model ...
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Profitability on Value at Risk forecasting

I'm conducting a research related to Value at Risk forecasting using volatility models like GARCH and others. My predictions are turning out quite well with some models. Is there a way to capitalize ...
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Scaled VaR: approximation vs reality

Previous question: Understanding VaR rescaling After understanding the usual VaR scaling formula $$\text{VaR}_{T,\alpha}=\sqrt{T}\text{VaR}_{1,\alpha}$$ I wanted to know by how much it deviates from ...
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Understanding VaR rescaling

Assume my portfolio has a current market value of $V_0$, that the daily returns are independent and identically distributed as a normal distribution $N(0, \sigma^2)$ and that there are $N$ trading ...
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Value-at-Risk of a portfolio with a stock after recent IPO

I have a task to calculate VaR for a portfolio of stocks and bonds. The main problem is that there is 1 stock which IPO was in November 2023 so there is few data points. To cope with that I came up ...
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My Montecarlo Simulation is not working?

My aim is to predict 1 year ahead and daily, the price of a stock under certain scenario. These scenarios are the ones that this year the stock will have a similar year, in terms of standard deviation ...
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How to derive numeric option VaR with delta-vega normal approach?

For an option with price C, the ΔC, with respect to changes of the underlying asset price S and volatility σ (first-order approximation), is given by $\Delta C=\delta \Delta S+\nu\Delta\sigma$, where ...
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Calculate Value at Risk for a futures contract or option position [closed]

How could we calculate VaR for a futures contract or a option position? I know that a VaR is calculated by the return multiply the investment amount, but how could we calculate the investment amount ...
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stressed VaR and VaR [closed]

Can someone please explain to me how most banks calculate their stress VaR. is there a regulatory-defined time series, such as the 2008 to 2009 period, to apply to the current position? My ...
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Value at Risk for a dollar neutral relative trades

So assuming I am entering a trade to long A stock at 10 and short B stock at 20. And assume we want the position to be dollar neutral, so we are going to long 2 shares of A and short 1 share of B. ...
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MonteCarlo Value At Risk for futures portfolio

I wanted to ask, suppose I have a portfolio of futures of gasoline and other oil products eg ULSD (Ultra Low Sulphur Diesel), WTI (West Texas Intermediate) for different months. I want to compute the ...
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Calcul du VaR sur une option call [closed]

Bonsoir. J'aimerais solliciter de l'aide à travers ce premier message. J'ai besoin de savoir comment calculer la VaR d'une option call dont le strike = 3200, date d'expiration est le 20/12/2024 et ...
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VaR on forward contracts

I am trying to calculate a historical VaR, let's say on a forward contract of Gas that has a delivery in December 2022 ( begin delivery = 1st December 2022 and end delivery = 31st December 2022). ...
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Showing that VaR is not sub additive

I found on pages 2 and 3 of Martin Haugh's "Risk Measures, Risk Aggregation and Capital Allocation" from 2010 an example showing non sub-additivity of VaR (excerpts given at the end). I ...
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Portfolio with Put Options - VaR, Std. Dev

I did a Monte Carlo simulation to evaluate my portfolio. I used different Strikes and Weights for the Put options. Now to my problem: All statistical measures (like expected return, volatility) ...
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How can I estimate value-at-risk of a long/short portfolio without making simplifying assumptions?

I have had a couple of long-standing questions about the mathematics behind a simple "vanilla" parametric VaR calculation and I'm hoping someone could clear up my confusion. Most likely I am ...
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How to calculate the gaussian VaR for a portfolio with 3 corporate bonds and 1 IRS payer?

As data I have the daily change of zero coupon spot rates for some vertex (0.25, 0.5, 1, 2..) and the daily change of z-spread for corporate bonds, also by vertex
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Do you roll back the maturities and schedules when backtesting VaR for portfolios of bonds, options or future contracts?

I want to backtest VaR models which are applied to portfolios of products which have maturities (options and futures) and even schedules (bonds). I have a question which never came up when backtesting ...
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compute Expected Shortfall / Conditional VaR from distribution

I want to compute the Expected Shortfall from a distribution of returns. I have no closed solution for my distribution of returns, so I wonder if I can simply compute ES by taking the mean of all the ...
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2-day ahead prediction of value at risk with GARCH(1,1) in R

Let's say I have a 10 year dataset of Tesla (example) and I am taking the percentage change of lag 2: ...
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Variance covariance matrix for a portfolio of credit derivatives

If the var-covar matrix for equities takes the return on equity prices, what should the var-covar matrix for credit derivatives (like a CDS) take? Should it be the probability of default, since that ...
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Simulating the Value-at-Risk with $t$ distributed returns

I want to understand how the value at risk and the simulating the VaR with simple Monte Carlo method. But I want just a confirmation and are welcome any comments, since I don't have the full picture ...
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VaR on Interest Rate Swaps

I am a newbie and was after a simple explanation on how VaR is calculated for a portfolio of IRS's.
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Does VaR calculations consider my portfolio past

I am relatively new to trading and decided to become more quantitative about it. I have had a portfolio for about two years, where I changed my positions several times. I now learnt about VaR ...
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How is VaR calculated for forward contracts accounting for European put options?

My initial idea is to create profit and loss using an equation like this: \begin{align} P\&L = & \text{European Put P&L} + \text{Forward P&L}\\ P\&L = & [(K-S_T)^+...
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PRIIPs KID: if VaR (Return Space) < -1, how to compute VEV (VaR-equivalent volatility)?

The PRIIPs regulation does not specify how to compute the VaR-equivalent volatility if $VaR_{Return Space} < -1$. What would you do in the following case? I have the following moments from the ...
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How is a return-adjusted nearby created?

I am reading Value-at-Risk Second Edition – by Glyn A. Holton https://www.value-at-risk.net/futures-nearbys-and-distortions/ From 6.6.1 "The standard means of obtaining continual time series from ...
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How is VaR calculated with mixed return-periods

For example, if you have a dataset of returns that are not daily or yearly, but span 24 days, 1 day, 5 days, 7 days, etc., how do you calculate or interpret the VaR of that? I've tried linearly ...
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Risk factor mapping of a foreign bond

Suppose the investor is Australian, and there is a single, 3-month, USD-denominated zero-coupon bond with a face value of \$1 million USD. The AUD/USD exchange rate is \$1.2AUD/USD, and the 3-month US ...