Var Approaches
This article provides a detailed exploration of three different approaches for calculating Value at Risk (VaR) – Historical, Variance-Covariance, and Monte Carlo Simulation. The analysis is based on Nifty data…
Full Revaluation Approach
Full revaluation serves as an effective risk assessment approach for quantifying the potential risk exposure associated with a portfolio of derivatives. This method involves the comprehensive reassessment of the entire…
Sensitivity Analysis
It is a method used to assess the impact of variations or changes in input parameters, assumptions, or factors on the outcomes of a risk assessment, financial model, or decision-making…
Monte Carlo Simulation Method to Calculate VaR
It is a computational technique extensively utilized in finance to assess the likelihood of various outcomes by running numerous random trials. In the context of financial risk management, it is…
Variance-Covariance Method to Calculate VaR
The Variance-Covariance approach is also known as the Delta-Normal approach. It assumes that the returns of the assets in the portfolio follow a normal distribution, which allows for a relatively…
Historical Simulation to Calculate VaR
Historical Simulation is a non-parametric method used to estimate Value at Risk (VaR). It involves sorting historical returns in ascending order and identifying the loss threshold corresponding to a desired…
VaR – The Risk Framework
Value At Risk (VaR) VaR – It is a measure of the amount that can be lost from the position, portfolio, desk, bank, etc. VaR is generally understood that quantifies…