We show that the copula\nmodel can capture the VaR more successfully, as compared with the traditional\nmethod of calculation. As an empirical study, the expected portfolio VaR is examined\nwhen a shipowner chooses among Panamax soybean trading routes under a condition\nof reduced trade volumes ...
From this formula, it is clear that calculation of an incremental VaR, i.e. the effect of a new position to the existing portfolio VaR requires us to compute the VaR of the updated portfolio as well as the VaR of an existing portfolio. However, there is a shortcut. In particular, we...
Computational PerformanceCalculation of portfolio risk distributions, e.g. as used in the calculation of a "value at risk", may involve a huge number of valuations for every sdoi:10.2139/ssrn.1802126Christian P. FriesSSRN Electronic Journal
Value At Risk (VaR) is a calculation used to estimate the magnitude of a portfolio's extreme or unlikely future gain or loss. Rather than looking to predict how much a portfolio could make or lose on a typical day, VaR's goal is to calculate, with a certain degree of certainty, large...
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Results suggest that large variance reductions are typically obtained and that both methods developed in this paper overcome difficulties related to VAR calculation with heavy-tailed risk factors. This working paper is available at Columbia University. You can access this site by going to www.columbia...
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CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation The estimation of multivariate GARCH models remains a challenging task, even in modern computer environments. This manuscript shows how Independent Compone... SA Broda,MS Paolella - 《Social Science Electronic Publishing》 被引量: 85...
As the number of assets in the portfolio grows, the terms in the formula for variance increase exponentially. For example, a three-asset portfolio has six terms in the variance calculation, while a five-asset portfolio has 15.Using software like Excelcan make the calculation of these numbers ...
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