# Questions tagged [var]

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

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### Capital Allocation, VaR, Expected Shortfall

Are there any serious drawbacks / weaknesses in the Euler allocation method, when used to allocate VaR capital (and potentially Expected Shortfall) to risk factors in a portfolio? I notice that ...
100 views

### Value at risk, risk-neutral vs real-world probability measures

Does anyone know if there is any link between the Value at Risk of risk-neutral distribution and of the real-world distributions of asset rate of returns?
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### Calculate Value at Risk for floating rate note

Consider a floating rate note: nominal: € 100 000 000 coupon period: annualy remaining time to maturity: 7 years and 3 months The coupon amounts to 3.3%, the current 3M-money market rate amounts to 3....
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### VaR Back testing using Christoffersen and negative likelihood ratio (Excel file attached)

In order to backtest a VaR using the independence test of Christoffersen (1998) I calculate the following likelihood ratio (LR): My problem is that I land on a negative LR and: I don't know why this ...
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### Backtesting VaR estimates

I'm going to perform a backtest on some VaR estimates (a huge sample) for a personal project. I'm wondering if the tests which are commonly used to evaluate VaR (Christoffersen, Kupiec) are in some ...
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### Testing VaR accuracy on a large series of data

I'm going to perform a backtest on two VaR models on a very large dataset (+50.000 values). Normally, I would use the Christoffersen LR test but in my case, due to the very large number of observation,...
52 views

### Longer / Shorter period loss

I am struggling on I think a quite simple issue. Let's take a portfolio of 100 loans. If we assume they are independent, each loan’s default is a Bernoulli with parameter $p=0.01$ over a certain time ...
370 views

### How to determine what's driving the VaR?

I am given the following data: Historical (260 days) P&L vector of a portfolio. Specific P&L's for each investment in the portfolio, for the 10 days with the lowest P&L. The question ...
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### Expected Shortfall for ARMA-GARCH Model

I need to find an analytical solution for the 99% confidence expected shortfall (CVaR) for a long position of 100 dollars at time $t$ for an asset with returns modeled by an ARMA(1,1)-GARCH(1,1) model ...
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### Payment Gateways' market risk: where does it come from?

Companies like Square and Adyen and Paypal are flourishing. They facilitate payments between people and business in various currencies and provide small loans. However as they are not banks they are ...
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### Credit VaR Formula

in Chapter 23 of Hull's Options, Futures, and Derivatives he has an example (i.e. example 23.4) which shows how the Credit VaR formula is applied. The answer in the formula is 0.128. I can't seem to ...
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### 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 ...
306 views

### Manually calculating and backtesting VaR and CVaR from DCC-GARCH R

I estimated a GARCH fit to the log returns of three series (CAC 40, a french real estate index and french T10 bond yield series) using rugarch. I then manually ...
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### Calculate the historical simulation VaR of the portfolio using Python

Assume that we have 200 stocks in WeiBo (WB), 300 stocks in Netflix (NFLX), 250 stocks in Ford Motor Company (F) and 150 in Royal Dutch Shell (RDS-A) as of 31 August 2019 in the portfolio. I have ...
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### Problem in calculating a simple VaR

In Alexander, Gordon J. and Alexandre M. Baptista (2006). Does the Basle Capital Accord reduce bank fragility? An assessment of the value-at-risk approach. Journal of Monetary Economics 53(7), ...
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### Missing data in historical simulation VaR

A historical simulation approach to VaR estimation relies on the availability of historical data. What do we do when there is no data (say, spot price and implied volatility surface) as, for example, ...
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### How to calculate value at risk in accordance with Basel?

I would greatly appreciate if you could let me know whether Value at Risk should be calculated for net open position (foreign currency assets-foreign currency liabilities) or for foreign currency cash?...
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### understanding Value-at-Risk correclty

The are several types how to calculate the VaR. I am focussing on the method of calculation the VaR in percentage. $VaR=I*z*std*\sqrt{t}$ This gives the VaR in €. I have the z-value, the daily ...
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### 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 $S = 10$. $S$...
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### How to add Risks-Not-In-VaR (RNIV) to VaR under Basel III

I am trying to generate/prove the magnitude of the over-conservativeness of the regulatory VaR (internal models) under Basel III against what a more accurate VaR would be. However, I can't seem to ...