Posts Tagged ‘VaR

30
Jul
11

Fun & Finance: #12, Gestión de Riesgo

Nuevamente con la participación de Marco Avellaneda, quien le explica a una audiencia virtual (tipo TED) sobre que es Risk Management y por que es importante.

Siempre mejor HD!

Y en busca del LIKE THIS.

31
Mar
11

Paper: VaR y correlación

Implied correlation from VaR

Abstract

Value at risk (VaR) is a risk measure that has been widely implemented by financial institutions. This paper measures the correlation among asset price changes implied from VaR calculation. Empirical results using US and UK equity indexes show that implied correlation is not constant but tends to be higher for events in the left tails (crashes) than in the right tails (booms).

 

Link al Paper

28
Mar
11

Paper: Hedging dinamico, análisis empírico

An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition

Abstract

This paper investigates the hedging effectiveness of a dynamic moving window OLS hedging model, formed using wavelet decomposed time-series. The wavelet transform is applied to calculate the appropriate dynamic minimum-variance hedge ratio for various hedging horizons for a number of assets. The effectiveness of the dynamic multiscale hedging strategy is then tested, both in- and out-of-sample, using standard variance reduction and expanded to include a downside risk metric, the time horizon dependent Value-at-Risk. Measured using variance reduction, the effectiveness converges to one at longer scales, while a measure of VaR reduction indicates a portion of residual risk remains at all scales. Analysis of the hedge portfolio distributions indicate that this unhedged tail risk is related to excess portfolio kurtosis found at all scales.

Link al Paper

09
Feb
10

Un refrito: Value at Risk

CSS Analytics tiene un post introductorio sobre Value at Risk,

A technique used to estimate the probability of portfolio losses based on the statistical analysis of historical price trends and volatilities.

El foco del articulo es de que tamaño tiene que ser una posición en el mercado. Lo más interesante es, que luego de la critica clásica de que las colas de la distribución de los retornos son más gruesas, propone el siguiente enfoque

Why not simply look at the empirical distribution of daily returns? After all, our own empirical observation tells us that normal distributions are flawed, so why not manage risk based on experience?

In this method we will use an incredibly simple approach:

1) take the daily returns for a given stock, index or strategy

2) compute the 5th percentile of returns (max tail loss)

3) select a budgeted risk level as a maximum daily loss such as 1% (conservative) or 1.5% (aggressive)

4) your position size is the budgeted risk level divided by the absolute value of the max tail loss

5) this position may not exceed 200%

Por ultimo, les dejo la bibliografia que use en un curso de VaR:

Jorion, Philippe. Value at Risk: A New Benchmark for Measuring Financial Risk

Holton, Glyn, Value at Risk, Theory and Practice

RiskMetrics Technical Document. (http://www.riskmetrics.com/publications/techdocs/rmcovv.html)




Fun & Finance

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Contacto

informes@qfclub.com.ar
"It is hard to be finite upon an infinite subject, and all subjects are infinite." Herman Melville

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