# 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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### 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, ...
1answer
75 views

### 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?...
2answers
151 views

### 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 ...
0answers
105 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 $S = 10$. $S$...
2answers
2k views

### 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 ...
1answer
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### A quick and dirty loss distribution and Credit VaR

I need to create a loss distribution for a credit portfolio as the first steps to estimate the portfolio Credit VaR. I have historical monthly account snapshots (payment history) of all accounts ...
2answers
2k views

### 1 day VaR vs 10 day VaR

Even while using historical simulation VaR, 1 day VaR is converted into 10 day VaR by multiplying 1 day VaR by Sqrt(10) for regulatory reporting purposes. What are the underlying assumptions for ...
1answer
327 views

### VaR equivalent volatility meaning

I have a hard time with interpreting VeV. I mean - I see its just standard deviation derived from Cornish-Fischer VaR, but I don't really know how to interpret it. The formula for VeV is: ...
0answers
180 views

### Compute the VaR from NPV (Net present value)? [closed]

A client is evaluating an investment in Indochina requiring an initial expenditure (period 0) of 10,000, and which then in periods 1 and 2 gives a benefit V1 and V2. Assume that the discount rate to ...
2answers
150 views

### Do correlated assets affect the price of a portfolio of derivatives?

I need to compute the value at risk of a given portfolio as an exercise for a class at university but I have trouble understanding how correlated assets affect the price of the portfolio. Could you ...
1answer
281 views

### GJR-GARCH model using garchFit function

I'm trying to use the garchFit function described here in order to define a GJR-GARCH model to estimate volatility and then forecast VaR. I tried using ...
2answers
145 views

### Monte Carlo VaR w/ Multivariate Normal vs. Parametric

In Aladdin's Monte Carlo VaR, the default setting for the joint distribution of factor returns is multivariate normal. Given that normal distributions do not capture the fat tails seen in empirical ...
0answers
52 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
1k views

### What should the half-life be in EWMA when calculating VaR from EWMA?

If we want to calculate an $x$-day VaR ($x$ is some time period in days) from an Exponentially Weighted Moving Average (EWMA) of vector of returns, what should the half-life in the decay factor in ...
1answer
147 views

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### Difference between Delta-Gamma and Delta-normal method for VaR

I was reading the differences between Delta-Gamma and Delta-normal method for VaR. One of the difference I found is mentioned below, but I can't understand it's importance. Can anybody please explain ...
1answer
155 views

### Risk Management methods for Stock portfolio with ~30 stocks

What is ideal Risk Management method/methods s for stock portfolios with 25-30 stocks and around 50.000 USD invested in those stocks. Every stock bought will be kept in the portfolio for 1 to 12 ...
2answers
123 views

### Assigning Global VaR to portfolio members

Assuming that I calculate a parametric VaR of a portfolio with 3 assets, and I need to assign the amount each asset (equity) contributes to the VaR. Lets say that: $C$: Is the correlation matrix $w$:...
0answers
63 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. ...
1answer
144 views

### Modelling operational risk for Basel pillar 2 (internal model for OpRisk VaR)

I am somewhat familiar with OpRisk for pillar 1. As far as I know OpRisk for pillar 1 will be replaced by standard approaches soon. So what is left is proper modelling in pillar 2. What are best ...
1answer
2k views

### EWMA VaR, code from Quant Risk

I am currently attempting to improve my python and understanding of VaR. I have been using the website Quant Risk: http://www.quantatrisk.com/2015/12/02/student-t-distributed-linear-value-at-risk/. ...
1answer
281 views

### PRIIP Category 3 Curves

Good evening, I've tried searching similar posts, but most are unanswered or in a more advanced step than what I'm trying to achieve. I've managed to do the boostrap method for spot prices ...
3answers
2k views

### Value at Risk - Long/Short position

I have a simple question on the VaR for a portfolio that consists of a long and short position. Say I have a portfolio consisting of the following positions: long 1000 shares of stock X short 1000 ...
0answers
232 views

### Parametric VaR of a portfolio of a stock and an option on that stock

I understand how to calculate the parametric VaR of a stock and an option separately. But I don't understand how one can calculate the VaR of a portfolio of a stock and an option on that stock using ...
0answers
51 views

### VaR of future foreign currency income stream

Assume I have a series of future incomes in a single foreign currency. How do I calculate the total VaR for this forex risk using the volatility method? My first thought was that I could simply add ...
1answer
1k views

1answer
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### expected shortfall as unconditional expectation

Acerbi has several backtests for expected shortfall. The second backtest is based on this equality Does anybody know how to derive this equality? Can anybody explain, why it makes sense, especially ...
1answer
218 views

### VaR Backtesting. High frequency of exceedances

I'm preparing for thesis defense and I've got simple question connected with Value at Risk backtesting. Portfolio VaR was calculated using historical simulation approach (250 days and 500days) and ...
1answer
516 views

### Confidence Interval on Monte-Carlo-CVaR

I use the Monte-Carlo Simulation for the computation of VaR and CVaR and wish to compute the 95% Confidence Interval of my result(not the confidence level of VaR). In the case of VaR this is simple ...