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Market Risk Modelling

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av vedpuriswar
av vedpuriswar

Basics of Market risk modelling

BusinessEconomy & Finance
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Market Risk Modelling By A.V. Vedpuriswar July 31, 2009
Volatility
Basics of volatility ,[object Object],[object Object],[object Object],[object Object]
Estimating Volatility ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Estimating Volatility ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Problem ,[object Object]
Solution ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Greeks
Introduction ,[object Object],[object Object],[object Object]
Delta ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Gamma ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Theta ,[object Object],[object Object],[object Object],[object Object]
Vega ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Rho ,[object Object]
Problem ,[object Object]
Solution ,[object Object],[object Object]
Problem ,[object Object]
Solution ,[object Object],[object Object]
[object Object],Problem
[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Value at Risk
Introduction ,[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],Illustration
[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Problem ,[object Object]
Solution ,[object Object],[object Object],[object Object],[object Object],[object Object]
Problem ,[object Object]
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
Variance Covariance Method
Problem ,[object Object]
Solution ,[object Object],[object Object],[object Object],[object Object],Ref : Options, futures and other derivatives, By John Hull
Problem ,[object Object]
Solution ,[object Object],[object Object],[object Object]
Problem ,[object Object]
Solution ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Monte Carlo Simulation
What is Monte Carlo VAR? ,[object Object],[object Object],[object Object]
Step 1: Generate Scenarios ,[object Object],[object Object],[object Object],[object Object],[object Object]
Opportunity Cost of Capital ,[object Object],[object Object]
Stochastic Element ,[object Object],[object Object],[object Object],[object Object]
Probability Distribution ,[object Object],[object Object],[object Object],[object Object]
Step 2: Calculate the Value of the Portfolio ,[object Object],[object Object],[object Object],[object Object]
Other approximations ,[object Object],[object Object],[object Object],[object Object],[object Object]
Step 3: Reorder the Results ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Formula used typically in Monte Carlo for stock price modelling
Advantages of Monte Carlo ,[object Object],[object Object],[object Object],[object Object],[object Object]
Problems with Monte Carlo ,[object Object],[object Object],[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object],[object Object],[object Object]
Historical Simulation
Introduction ,[object Object],[object Object],[object Object]
Few assumptions ,[object Object],[object Object],[object Object],[object Object],[object Object]
Steps ,[object Object],[object Object],[object Object],[object Object]
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
[object Object],[object Object],[object Object],Solution
Advantages ,[object Object],[object Object],[object Object]
Disadvantages ,[object Object],[object Object],[object Object],[object Object]
Comparison of different VAR modeling techniques
Simulation vs Variance Covariance ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Model Validation
Basel Committee Standards ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object],[object Object],[object Object]
Stress Testing
Introduction ,[object Object],[object Object],[object Object],[object Object]
Two approaches to Stress testing ,[object Object],[object Object]
Conducting Stress Tests ,[object Object],[object Object],[object Object],[object Object],[object Object]
Extreme Value Theory ,[object Object],[object Object],[object Object]
EVT Parameters ,[object Object],[object Object],[object Object],[object Object]

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