Value at Risk for Non-linear Portfolios with Non-normal Financial Returns - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Value at Risk for Non-linear Portfolios with Non-normal Financial Returns write by Xuping Zhang. This book was released on 2002. Value at Risk for Non-linear Portfolios with Non-normal Financial Returns available in PDF, EPUB and Kindle.
Value at Risk Bounds for Portfolios of Non-Normal Returns
Value at Risk Bounds for Portfolios of Non-Normal Returns - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Value at Risk Bounds for Portfolios of Non-Normal Returns write by Elisa Luciano. This book was released on 2001. Value at Risk Bounds for Portfolios of Non-Normal Returns available in PDF, EPUB and Kindle. This paper studies Value at Risk (VaR) bounds for sums of stochastically dependent random variables, i.e. portfolios of correlated financial assets. The bounds hold under no restrictions on the dependence or on the marginal distributions of returns. An improvement of the bounds is given for positive (quadrant) dependent rvs. Both sets of bounds are computed for portfolios of 6 international indices. Backtesting confirms the usefulness of the approach, even with respect to other shortcuts, such as the normality assumption. For small portfolios, bounds are not over conservative.
Applied Quantitative Finance
Applied Quantitative Finance - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Applied Quantitative Finance write by Wolfgang Karl Härdle. This book was released on 2017-08-02. Applied Quantitative Finance available in PDF, EPUB and Kindle. This volume provides practical solutions and introduces recent theoretical developments in risk management, pricing of credit derivatives, quantification of volatility and copula modeling. This third edition is devoted to modern risk analysis based on quantitative methods and textual analytics to meet the current challenges in banking and finance. It includes 14 new contributions and presents a comprehensive, state-of-the-art treatment of cutting-edge methods and topics, such as collateralized debt obligations, the high-frequency analysis of market liquidity, and realized volatility. The book is divided into three parts: Part 1 revisits important market risk issues, while Part 2 introduces novel concepts in credit risk and its management along with updated quantitative methods. The third part discusses the dynamics of risk management and includes risk analysis of energy markets and for cryptocurrencies. Digital assets, such as blockchain-based currencies, have become popular b ut are theoretically challenging when based on conventional methods. Among others, it introduces a modern text-mining method called dynamic topic modeling in detail and applies it to the message board of Bitcoins. The unique synthesis of theory and practice supported by computational tools is reflected not only in the selection of topics, but also in the fine balance of scientific contributions on practical implementation and theoretical concepts. This link between theory and practice offers theoreticians insights into considerations of applicability and, vice versa, provides practitioners convenient access to new techniques in quantitative finance. Hence the book will appeal both to researchers, including master and PhD students, and practitioners, such as financial engineers. The results presented in the book are fully reproducible and all quantlets needed for calculations are provided on an accompanying website. The Quantlet platform quantlet.de, quantlet.com, quantlet.org is an integrated QuantNet environment consisting of different types of statistics-related documents and program codes. Its goal is to promote reproducibility and offer a platform for sharing validated knowledge native to the social web. QuantNet and the corresponding Data-Driven Documents-based visualization allows readers to reproduce the tables, pictures and calculations inside this Springer book.
Comparative Analysis of Value at Risk (VAR) Methods for Portfolio with Non-Linear Return
Comparative Analysis of Value at Risk (VAR) Methods for Portfolio with Non-Linear Return - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Comparative Analysis of Value at Risk (VAR) Methods for Portfolio with Non-Linear Return write by Manohar Lal. This book was released on 2013. Comparative Analysis of Value at Risk (VAR) Methods for Portfolio with Non-Linear Return available in PDF, EPUB and Kindle. In this study various value at risk methods such as Historical Simulation, Variance-Covariance Approach and Monte Carlo Simulation are calculated, compared and tested for accuracy. Backtesting for the VaR methods is applied to check the accuracy of the VaR methods. The portfolio includes equally weighted three banking stock and one at-the-money (ATM) call option for one of the banking stock in the portfolio. The log return for the portfolio and individual investments are calculated. Different VaR calculation methods are used to calculate the downside risk of the portfolio and individual investments. VaR is calculated at 95% and 99% confidence level for the portfolio and individual securities. The value at risk for the portfolio at 95% confidence level from all the three methods are within the defined level of downside risk, while at 99% confidence level only Mote Carlo Simulation method provides good approximation of downside risk for a portfolio with options. Thus from this study it is inferred that for instrument or portfolio with non-linear return structure Monte Carlo simulation method provide good approximation of the downside risk.
Value at Risk, 3rd Ed.
Value at Risk, 3rd Ed. - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Value at Risk, 3rd Ed. write by Philippe Jorion. This book was released on 2006-11-09. Value at Risk, 3rd Ed. available in PDF, EPUB and Kindle. Since its original publication, Value at Risk has become the industry standard in risk management. Now in its Third Edition, this international bestseller addresses the fundamental changes in the field that have occurred across the globe in recent years. Philippe Jorion provides the most current information needed to understand and implement VAR-as well as manage newer dimensions of financial risk. Featured updates include: An increased emphasis on operational risk Using VAR for integrated risk management and to measure economic capital Applications of VAR to risk budgeting in investment management Discussion of new risk-management techniques, including extreme value theory, principal components, and copulas Extensive coverage of the recently finalized Basel II capital adequacy rules for commercial banks, integrated throughout the book A major new feature of the Third Edition is the addition of short questions and exercises at the end of each chapter, making it even easier to check progress. Detailed answers are posted on the companion web site www.pjorion.com/var/. The web site contains other materials, including additional questions that course instructors can assign to their students. Jorion leaves no stone unturned, addressing the building blocks of VAR from computing and backtesting models to forecasting risk and correlations. He outlines the use of VAR to measure and control risk for trading, for investment management, and for enterprise-wide risk management. He also points out key pitfalls to watch out for in risk-management systems. The value-at-risk approach continues to improve worldwide standards for managing numerous types of risk. Now more than ever, professionals can depend on Value at Risk for comprehensive, authoritative counsel on VAR, its application, and its results-and to keep ahead of the curve.
