A B C D E F G H I J K L M N O P Q R S T U V W X Y Z All
Jammalamadaka, Sastry K. R.
- A Computationally more Efficient Distance based VaR Methodology for Real Time Market Risk Measurement
Authors
1 Department of Electronics and Computer Engineering, KL University, Vaddeswaram - 522502, Andhra Pradesh, IN
2 Jawaharlal Nehru Technological University, Kakinada – 533003, Andhra Pradesh, IN
Source
Indian Journal of Science and Technology, Vol 8, No 36 (2015), Pagination:Abstract
Measurement of market risk requires lots of computational resources when the Value-at-Risk (VaR) is computed using the historical simulation approach as it involves full revaluation of the portfolio for the considered data points. Although approximations can be done using the delta-normal, delta-gamma and delta-gamma-theta approaches, historical simulation approach alone is straight forward method that uses past data to generate future values without assuming any distribution for the underlying returns. The requirement of intensive computational effort in case of historical simulation hinders it’s usage for applying to real time VaR calculation. In this work we propose a methodology that doesn’t forego the benefits of historical simulation approach but can be applied to calculate market risk VaR in real time. The VaR calculated using the proposed methodology converges as the range of the portfolio returns is increased. The proposed methodology is also superior to the historical simulation approach in terms of usage of the computational resources and applicability to real time without sacrificing accuracy obtained using historical simulation approach.
Keywords
Portfolio Assessment, Risk Assessment, Risk Assessment through Simulation, Share Market, Value-at-Risk.- A Computationally More Efficient Distance based VaR Methodology for Real Time Market Risk Measurement
Authors
1 Department of Electronics and Computer Engineering, KL University, Vaddeswaram, Guntur – 522502, Andhra Pradesh, IN
2 Jawaharlal Nehru Technological University, Kakinada - 533003, Andhra Pradesh, IN
Source
Indian Journal of Science and Technology, Vol 9, No 10 (2016), Pagination:Abstract
Background/Objectives: The main objective of this paper is to compute VaR (Value at risk) which requires minimal resources and the computing is done in real-time with utmost accuracy. Method/Statistical Analysis: The paper presents a methodology which helps in computing VaR in real time and with most accuracy. Very less computational resources are required from computing VaR. The VaR computing methodology proposed in this paper converges as the returns on the portfolio ranges increases. Findings: It has been presented in the paper that the number of valuations required for computing the VaR is dependent on the number of instruments added to the portfolio and is independent of the number of instruments already existing at the time computing VaR. The method proposed in this paper can be used for computing VaR in real time.Keywords
Market Risk, Portfolio Instruments, Risk Assessment, Real-Time Market Risk Measurement, VaR- A Data Driven Approach to Calculate Optimum Collateral Amount for Vulnerable Option
Authors
1 Department of Electronics and Computer Engineering, Computer Science and Engineering, KL University, Vaddeswaram, Guntur District - 522502, Andhra Pradesh, IN
2 Jawaharlal Nehru Technological University, Kakinada - 533503, Andhra Pradesh, IN