October 2011
Intermediate to advanced
672 pages
26h 2m
English
Content preview from Derivatives and Risk Management
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18
Market Risk
Learning Objectives
After reading this chapter, you will be able to understand
- the concept of value at risk
- portfolio risk
- market risk
- approaches to measuring market risk
- practices of stock exchanges in India
Chapter Outline
18.4 Approaches to Quantification of Value-at-Risk
18.5 Sub-Elements of Value-at-Risk
18.6 Evaluation of Value-at-Risk
THE SITUATION
Indrani is the portfolio manager of an investment bank. In view of volatility in the securities market, she wants to protect the value of her portfolio of investments. Before embarking on protective measures, she would like to know the following: ‘What is the risk of her portfolio?’; ‘Is the risk greater ...
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