7

105-114

10

 

John Wiley & Sons, Inc. (Visit publisher website)

2002

English

 

 

 

Basic

 

 

Factor models, delta-normal value at risk, benchmark relative value at risk, option elasticity, full Monte Carlo value at risk

 

For portfolios with a large number of positions, factor models offer an intuitive way to think about its risks. This chapter provides an effective explanation of how factor models can be used for calculating a portfolio`s value at risk using the parametric VaR method and using Monte Carlo simulation. The chapter also discusses the parametric VaR method for portfolios with options and the potential drawbacks of using this approach.

 

7.1 Delta-normal value-at-risk
7.2 Including options in computing delta-normal value-at-risk
7.3 Full Monte Carlo value-at-risk
7.4 Other methods
7.5 Notes

 

If you are interested in purchasing the book, please click here.

 

*** From the publisher ***
Covers the hottest topic in investment for multitrillion pension market and institutional investors.
Institutional investors and fund managers understand they must take risks to generate superior investment returns, but the question is how much. Enter the concept of risk budgeting, using quantitative risks measurements, including VaR, to solve the problem. VaR, or value at risk, is a concept first introduced by bank dealers to establish parameters for their market short-term risk exposure. This book introduces VaR, extreme VaR, and stress-testing risk measurement techniques to major institutional investors, and shows them how they can implement formal risk budgeting to more efficiently manage their investment portfolios. Risk Budgeting is the most sophisticated and advanced read on the subject out there in the market.