# Questions tagged [value-at-risk]

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87 views

### Block maxima estimation of Expected Shortfall

I want to calculate the expected shortfall of a return series with the block maxima (BM, link) method in Extreme Value Theory, however I can't seem to find out how this should be done. All papers I'...
170 views

### PCA on a portfolio of spot and forward contracts

I have a portfolio of spot and FX forwards on various currencies all based to AUD. I need to able to quantify how the changes in amount, tilt and curvature of the AUD curve would impact my p/l. ...
38 views

### Correct way to calculate interest rate volatility for risk calculations

I'm trying to include interest rate derivatives in some Value at Risk calculations and am having trouble getting trustworthy values. My current approach is to look at the appropriate risk factor for ...
32 views

### Delta-normal VaR of portfolio of stock and call option

I have to calculate the 10-day 99% VaR of a portfolio that consists of a portfolio of 260 stocks of a company $K$ and that is short 500 call (European) options of the same company. I know that the ...
28 views

### Value at Risk under increasing function

There is an exercise I struggle to solve. I hope you can give me a hint. Let X be random variable taking values in $I\subset \mathbb{R}$. I have to show that the Value at Risk is invariant under any ...
20 views

### Decomposition of Contribution to Variance

$C$ is a $N\times N$ covariance matrix of stock returns. Assuming $w$ is a vector of positions in each asset, the total variance of the portfolio is $$w^TCw$$ The contribution to total variance of the ...
15 views

### How to prove the following relation of Conditional Value-at-Risk and Value-at-Risk and Conditional Tail Expectation?

How to prove the following relation of Conditional Value-at-Risk and Value-at-Risk and Conditional Tail Expectation????
50 views

### Cornish Fisher VaR Parameters Calibration

I am trying to calculate Cornish-Fisher (modified VaR), but I am in a trouble because when I am reading some articles, some authors calculate the Cornish-Fisher expansion taking parameters S and K, as ...
47 views

### What is the differential Value-at-Risk?

I am currently working on a Machine Learning Project, implementing portfolio optimization algorithms according to different risk measures. I have found sufficient information on Sharpe Ratio ...
24 views

### Univariate Portfolio Analysis

We want to form 10 portfolios based on the level of VAR (99%) for equity data over a 30 year period. Portfolio 1 is the portfolio of stocks with the lowest value-at-risk and Portfolio 10 is the ...
142 views

### How do you calculate value at risk on a portfolio of fixed income instruments

I'm curious about this question both for a parametric "Delta" style approach and a Monte Carlo full revaluation approach and I will lead one question into the next. Taking the "Delta" approach first. ...