# 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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### Filtered Historical Simulation VaR for swaps

I am trying to understand how to calculate FHS VaR for a portofolio of vanilla swaps. I think I understand the main ideas behind FHS VaR and how to implement it for other assets such as equities. I ...
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### Which distribution has higher VaR?

Let say I have 2 distributions with cdf $F_1$ and $F_2$. And I know that $F_1 \leq F_2$. With this information I know that $F_1$ has bigger lower tail than $F_2$ but I don't think this right away ...
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### Computing VaR in a Monte Carlo simulation (question from Joshi's book)

I am studying Joshi's book on C++ for derivatives pricing. I am at chapter 5 on implementing a statistics gatherers class to use in a (simple) MC routine for pricing vanilla options, where it is ...
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### Is there a Python package that implements backtesting for VaR?

I would like to use the tests of Christoffersen (1998), Engle and Manganelli (2004) or Kupiec (1995) to evaluate how good are the VaRs that I have projected. Is there a library that implements these ...
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I want to calculate VaR for bonds using historical z-spread changes. I want to apply the changes to the present day z-spread, reprice the bond and obtain the PnLs from which I can calculate VaR. But ...
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### Testing severity of VaR by changing portfolio component weights

Let's assume that I have a portfolio with two components:$$\omega_i = 0.3$$ $$\omega_j = 0.7$$ I also have two P&L vectors, $v_i$ and $v_j$ each containing 1000 P&Ls. I would like to play ...
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### Credit VaR for this portfolio assuming no default correlation and no recovery?

I am trying to estimate the Credit VaR for a portfolio of two risky bonds. The Credit VaR is defined as the maximum unexpected loss at a confidence level of 99.9% over a one-month horizon. Assuming ...
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### 10-day VaR for a portfolio

So, Bank ANZ owns a portfolio of options on the USD/GBP exchange rate. The delta equivalent position of the portfolio is GBP 56.00. The current exchange rate is 1.5, with a daily volatility of 0.7 ...
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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 ...
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### 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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### 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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### 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 ...
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### 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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