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Market Risk Modelling
1.
Market Risk Modelling
By A.V. Vedpuriswar July 31, 2009
2.
Volatility
3.
4.
5.
6.
7.
8.
Greeks
9.
10.
11.
12.
13.
14.
15.
16.
17.
18.
19.
20.
21.
22.
Value at Risk
23.
24.
25.
26.
27.
28.
29.
Solution Weekly
VAR = (12,500) (√5) = 27,951 Monthly VAR = ( 12,500) (√20) = 55,902 Semi annual VAR = (12,500) (√125) = 139,754 Annual VAR = (12,500) (√250) = 197,642
30.
Variance Covariance Method
31.
32.
33.
34.
35.
36.
37.
Monte Carlo Simulation
38.
39.
40.
41.
42.
43.
44.
45.
46.
Formula used typically
in Monte Carlo for stock price modelling
47.
48.
49.
50.
Historical Simulation
51.
52.
53.
54.
Problem What is
VAR (90%) ? % Returns Frequency Cumulative Frequency - 16 1 1 - 14 1 2 - 10 1 3 - 7 2 5 - 5 1 6 - 4 3 9 - 3 1 10 - 1 2 12 0 3 15 1 1 16 2 2 18 4 1 19 6 1 20 7 1 21 8 1 22 9 1 23 11 1 24 12 1 26 14 2 27 18 1 28 21 1 29 23 1 30
55.
56.
57.
58.
Comparison of different
VAR modeling techniques
59.
60.
Model Validation
61.
62.
63.
64.
Stress Testing
65.
66.
67.
68.
69.
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