Author : Narendra Varma
Publisher : LAP Lambert Academic Publishing
ISBN 13 : 9783659180644
Total Pages : 116 pages
Book Rating : 4.1/5 (86 download)
Book Synopsis Sensitivity Analysis of Var and Cvar by : Narendra Varma
Download or read book Sensitivity Analysis of Var and Cvar written by Narendra Varma and published by LAP Lambert Academic Publishing. This book was released on 2012-07 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt: Value at Risk (VaR) and conditional value at Risk (CVaR) are frequently used risk measures. Finding optimal portfolio using VaR or CVaR as a risk measure is computationally intensive especially when number of instruments and scenarios size is huge. This problem was analyzed and a computational efficient method, beating the industry's best methods, was proposed in this work. Parallel computing techniques were further applied to attain even higher computational efficiencies. Also models were built to find sensitivities in VaR and CVaR for different set of parameters like risk free interest rates on stocks, Market interest rates on bonds, volatilities in stocks and bonds and portfolio allocation weights. Illustrated ways to overcome limitations in finite difference methods to find sensitivities in VaR and CVaR. Finally an application of our work is presented using a portfolio of different types of options, bonds and stocks.