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Sensitivity Analysis of VaR and CVaR: Sensitivity Analysis and Computational aspects of Value at Risk (VaR) and Conditional Value at Risk (CVaR) - Softcover

Varma, Narendra

 
9783659180644: Sensitivity Analysis of VaR and CVaR: Sensitivity Analysis and Computational aspects of Value at Risk (VaR) and Conditional Value at Risk (CVaR)
Softcover
ISBN 10: 3659180645 ISBN 13: 9783659180644
Publisher: LAP LAMBERT Academic Publishing, 2012

Synopsis

Value at Risk (VaR) and conditional value at Risk (CVaR) are frequently used risk measures. Finding optimal portfolio using VaR or CVaR as a risk measure is computationally intensive especially when number of instruments and scenarios size is huge. This problem was analyzed and a computational efficient method, beating the industry's best methods, was proposed in this work. Parallel computing techniques were further applied to attain even higher computational efficiencies. Also models were built to find sensitivities in VaR and CVaR for different set of parameters like risk free interest rates on stocks, Market interest rates on bonds, volatilities in stocks and bonds and portfolio allocation weights. Illustrated ways to overcome limitations in finite difference methods to find sensitivities in VaR and CVaR. Finally an application of our work is presented using a portfolio of different types of options, bonds and stocks.

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About the Author

Narendra completed his Master's in Industrial Engineering and Operations Research at Indian Institute of Technology - Bombay in 2009. Narendra is a certified financial risk manager (FRM) and is currently working in one of the leading financial services firm.

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Publisher
LAP LAMBERT Academic Publishing
Publication date
2012
Language
English
ISBN 10 
3659180645
ISBN 13 
9783659180644
Binding
Paperback
Number of pages
116