Questions tagged [value-at-risk]

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Intraday Value at Risk approximations

We use full valuation of derivatives portfolios using scenarios from historical data. For simple contracts, this is relatively fast. For contracts requiring monte carlo simulation, this becomes ...
28 views

Estimator for Conditional value at risk (average value at risk)

I am following a book: Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization by Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi I'm learning about average value at risk. ...
75 views

Modified Sharpe ratio

I would like to model different type of investors, hence I need to find some kind of utility functions to optimize. Apart from very abstract exponential utility function, I couldn't find any proper ...
85 views

Let B1, B2 be two defaultable zero-coupon bonds maturing in 1 year, each with a face value of $100. Assume: each bond is priced at 90 dollars each bond has a 4% probability to default within 1 year ... 0answers 42 views VaR of ARCH model Consider the following:$r_t = \theta r_{t-1}+u_tu_t=\sigma_t\epsilon_t\sigma^2_t=\omega+\alpha u^2_{t-1}-1<\theta<1,\omega>0,\alpha \in(0,1)$What is the 99% 2-day VaR of a ... 0answers 56 views Pricing default risk in cryptos I'm looking to figure out how to price "insurance" against a counter-party defaulting in an OTC cryptocurrency transaction. I think the first measure would be to calculate VaR? I'm planning on ... 1answer 181 views How to compute a single Value-at-Risk (a single quantile) of portfolio returns taking into account correlation between individual returns? Introduction My goal is to retrieve a single Value-at-Risk (VaR) of a N(0, H) random variable$X$at the$\alpha \in (0,1)$confidence level where H is a known d-dimensional positive definite matrix ... 0answers 49 views VaR decomposition of non-normal portfolio by g-and-h distribution According to Doowoo Nam (2013), VaR of non-normal portfolio returns approximated by g-and-h distribution can be decomposed pretty much in the same way as the VaR of a portfolio with normal returns. ... 0answers 279 views Problems in computing VaR with GARCH-GPD-copula approach I use a time-varying Gaussian copula (with GARCH-filtered standardized residuals modeled semiparametrically with Gaussian kernel interior and GPD tails, i.e. generalized pareto distributed) to ... 0answers 74 views Value-at-Risk Calculation with respect to the Capital Requirements I want to calculate the Value-at-Risk at date$tin such a way that I minimize the capital requirements given as \begin{align} \text{CR}_{\,t+1\,:\,t+250} = \sum_{h=0}^{249}\max\left( -(3+k_{t})\... 0answers 174 views Beta distribution - Holding period Let's say I have a risk factor that is defined between [0,1], such as recovery rates. Assuming I have daily data, I can estimate the "daily VaR", i.e. the tails over 1 day period, since the data is ... 0answers 361 views Comparing Backtests of Value-at-Risk and Expected Shortfall My goal is to test if ES (CVaR) empirically is a better risk measure than VaR for a set of given variables (assumed underlying distribution, confidence level, sample size) for different asset classes. ... 1answer 137 views Energy Risk Quant--Any discussion boards for energy related quant topics? Any discussion boards for energy related quant topics? Like VaR in energy portfolio, and pipeline option pricing.. just want to know where is the best discussion board for such energy specific topics. ... 0answers 48 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'... 1answer 89 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. ... 0answers 24 views How to measure specific risk charge? IFRS requires banks to compute different risks including market risk based on Basel iii. To do so, the capital requirement is defined as follows: $$max(VaR_{t−1},m_c × VaR_{avg}) + SRC$$SRC$is ... 0answers 60 views Opposite of Value-at-Risk. Criteria for Optimization I'm trying to optimize portfolio of undervalued and portfolio of overvalued stocks. I have simulated scenarios of stock returns, and based on them I would like to find optimal weights. One criteria is ... 0answers 44 views Risk Measure-identication Let X be a variable with existing moment generating function$M_x(z)=E[e^{zX}]$. Define the following risk measure:$\rho_{\alpha}(X)=inf_{z>0}(z^{-1}ln(\frac{M_x(z)}{1-\alpha}))$Does anyone know ... 0answers 44 views Does it make sense to subtract VaR from spot shocks? I have a model to compute the Event Risk (in dollars) from a shock to the spot price of an asset. I also have the 10-day VaR PnL for the same assets returns. These two numbers are then aggregated to ... 0answers 97 views Monte Carlo VAR with differente asset classes I have found a very useful post regarding the use of Monte Carlo simulaton to obtain portfolio Value at risk, based on Cholesky decomposition, random variates, etc. This post I'm talking about is: Is ... 0answers 30 views Hedger's utility function associated with minimizing value at risk What must be the general shape of a hedger's utility function if the hedger is minimizing value at risk? What is a simple example of such a utility function? 0answers 58 views How can I find what Loss Given Default to use I want to come up with the appropriate loss given default for a commodity derivative in my CVA calculation. would anyone know where I can find this information? 0answers 72 views Calculate VaR using the extreme value theory I am trying to calculate the Value at Risk for different models. But I am now confused for some reason. Could you please help me? I calculate the 1% and 5% VaR (so negative numbers) and I am also ... 0answers 1k views How to backtest Value at Risk Models using Conditional and Unconditional tests? I am trying to carry out backtesting on a number of Value at Risk figures i obtained using var/covar, historical, and monte carlo simulation. The two methods im using are the Kupiec test (... 0answers 536 views Simulating Option Positions VaR with Monte Carlo in Python I'm trying to calculate VaR for overall option positions. Currently I do a MC simulation for the underlying, and derive the theoretical value of the option from those theoretically. Then I calculate ... 0answers 40 views Approximation of portfolio VaR (after mapping) when Delta and Gamma both equal zero As titled, I am having trouble estimating the VaR of a portfolio mapped as a function of a single risk factor$S$, in the form : $$V(S) = S^3 - 30S^2 + 300S + 150$$ with current value$S = 10$.$S$... 0answers 44 views How can I manually calculate the VAR of a call and put portfolio? How would I solve the following question? Im unsure how to estimate the stock price using MCS. 1answer 112 views Historical Simulation of Bond, Stock and Option Portfolio If I have a portfolio consisting of 1-one stock of unit price equal to S, 2-one 9% coupon American bond with 20 years to maturity and a par value of$1000, 3-and one European call option on the ...
Suppose I have times series data on 3 assets and I do $N$ simulations (GBM) first for each of assets individually and then from a multidimensional GBM since their log-returns are correlated (I use ...