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.
File in questo prodotto:
Non ci sono file associati a questo prodotto.
Pubblicazioni consigliate

Caricamento pubblicazioni consigliate

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11385/168275
Citazioni
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact