# 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 ...
186 views

### Analytical portfolio optimization for VaR under multivariate normality

Given a set of assets with returns following a multivariate normal distribution with a known mean vector and a known covariance matrix, $$r \sim N(\mu,\Sigma),$$ I want to find optimal portfolio ...
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### Stop-Loss strategies

Does anyone know some bibliography about the problems or limitations of using Stop-Loss strategies in a portfolio? Let me explain better: for example you can have a portfolio of 30 stocks from ...
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### 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. ...
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. ...
136 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 ...
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### Does it make sense to simulate from the multidimensional GBM?

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 ...