Chap 18

The Question Being Asked in VaR ,[object Object]

VaR and Regulatory Capital (Business Snapshot 18.1, page 436) ,[object Object],[object Object]

VaR vs. C-VaR (See Figures 18.1 and 18.2) ,[object Object],[object Object],[object Object]

Advantages of VaR ,[object Object],[object Object],[object Object],[object Object]

Time Horizon ,[object Object],[object Object]

Historical Simulation (See Table s 18.1 and 18.2 , page 438-439) ) ,[object Object],[object Object],[object Object],[object Object]

Historical Simulation continued ,[object Object],[object Object],[object Object],[object Object]

The Model-Building Approach ,[object Object],[object Object]

Daily Volatilities ,[object Object],[object Object]

Daily Volatility continued ,[object Object],[object Object]

Microsoft Example (page 440) ,[object Object],[object Object],[object Object]

Microsoft Example continued ,[object Object],[object Object]

Microsoft Example continued ,[object Object],[object Object],[object Object]

AT&T Example (page 441) ,[object Object],[object Object],[object Object],[object Object]

Portfolio ,[object Object],[object Object]

S.D. of Portfolio ,[object Object],[object Object]

VaR for Portfolio ,[object Object],[object Object],[object Object],[object Object]

The Linear Model ,[object Object],[object Object],[object Object]

The General Linear Model continued (equations 18.1 and 18.2)

Handling Interest Rates: Cash Flow Mapping ,[object Object],[object Object],[object Object]

Example continued ,[object Object],[object Object]

Example continued ,[object Object],[object Object],[object Object]

Example continued ,[object Object],[object Object],[object Object],[object Object]

When Linear Model Can be Used ,[object Object],[object Object],[object Object],[object Object]

The Linear Model and Options ,[object Object],[object Object]

Linear Model and Options continued (equations 18.3 and 18.4) ,[object Object],[object Object],[object Object]

Example ,[object Object],[object Object],[object Object]

Skewness (See Figures 18.3, 18.4 , and 18.5) ,[object Object]

Quadratic Model ,[object Object],[object Object]

Quadratic Model continued ,[object Object],[object Object],[object Object]

Monte Carlo Simulation (page 448-449) ,[object Object],[object Object],[object Object],[object Object],[object Object]

Monte Carlo Simulation ,[object Object],[object Object],[object Object],[object Object]

Speeding Up Monte Carlo ,[object Object]

Comparison of Approaches ,[object Object],[object Object]

Stress Testing ,[object Object]

Back-Testing ,[object Object],[object Object]

Principal Components Analysis for Interest Rates (Tables 18.3 and 18.4 on page 451) ,[object Object],[object Object],[object Object]

Using PCA to calculate VaR (page 453) ,[object Object],[object Object],[object Object],[object Object],+2 -7 -8 +4 +10 5 yr 4 yr 3 yr 2 yr 1 yr

Using PCA to calculate VaR continued ,[object Object],[object Object],[object Object],[object Object]

Chap 18

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Chap 18