This paper describes a possible approach for determining the Value at Risk (VaR) of a generic port-folio whose value changes depend on the variable conditions of financial markets. After reviewing some specific problems relative to the calculation of VaR, three examples are presented: The first one deals with interest rates, the second with stocks and the third with exchange rates. In the section on interest rates we present a VaR measure that is consistent with the perfect fit of the model; in the section on stocks we determine the VaR relative to long and short positions on highly non-linear portfolios (hedges, vertical and calendar spreads, combinations); finally, in the section on exchange rates we show how VaR changes according to the reference currency. The more technical parts of the paper are contained in three appendices.

A Unified VaR Approach / Barone, Emilio. - (2004). [10.2139/ssrn.512544]

A Unified VaR Approach

BARONE, EMILIO
2004

Abstract

This paper describes a possible approach for determining the Value at Risk (VaR) of a generic port-folio whose value changes depend on the variable conditions of financial markets. After reviewing some specific problems relative to the calculation of VaR, three examples are presented: The first one deals with interest rates, the second with stocks and the third with exchange rates. In the section on interest rates we present a VaR measure that is consistent with the perfect fit of the model; in the section on stocks we determine the VaR relative to long and short positions on highly non-linear portfolios (hedges, vertical and calendar spreads, combinations); finally, in the section on exchange rates we show how VaR changes according to the reference currency. The more technical parts of the paper are contained in three appendices.
A Unified VaR Approach / Barone, Emilio. - (2004). [10.2139/ssrn.512544]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11385/168275
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