Market Risk Analysis Volume IV: Value-at-Risk Models

Contents

List of Figures

List of Tables

List of Examples

Foreword

Preface to Volume IV

IV.1 Value at Risk and Other Risk Metrics

IV.1.1 Introduction

IV.1.2 An Overview of Market Risk Assessment

IV.1.2.1 Risk Measurement in Banks

IV.1.2.2 Risk Measurement in Portfolio Management

IV.1.2.3 Risk Measurement in Large Corporations

IV.1.3 Downside and Quantile Risk Metrics

IV.1.3.1 Semi-Standard Deviation and Second Order Lower Partial Moment

IV.1.3.2 Other Lower Partial Moments

IV.1.3.3 Quantile Risk Metrics

IV.1.4 Defining Value at Risk

IV.1.4.1 Confidence Level and Risk Horizon

IV.1.4.2 Discounted P&L

IV.1.4.3 Mathematical Definition of VaR

IV.1.5 Foundations of Value-at-Risk Measurement

IV.1.5.1 Normal Linear VaR Formula: Portfolio Level

IV.1.5.2 Static Portfolios

IV.1.5.3 Scaling VaR

IV.1.5.4 Discounting and the Expected Return

IV.1.6 Risk Factor Value at Risk

IV.1.6.1 Motivation

IV.1.6.2 Normal Linear Equity VaR

IV.1.6.3 Normal Linear Interest Rate VaR

IV.1.7 Decomposition of Value at Risk

IV.1.7.1 Systematic and Specific VaR

IV.1.7.2 Stand-alone VaR

IV.1.7.3 Marginal and Incremental VaR

IV.1.8 Risk Metrics Associated with Value at Risk

IV.1.8.1 Benchmark VaR

IV.1.8.2 Conditional VaR: Expected Tail Loss and Expected Shortfall

IV.1.8.3 Coherent Risk Metrics

IV.1.9 Introduction to Value-at-Risk Models

IV.1.9.1 Normal Linear VaR

IV.1.9.2 Historical Simulation

IV.1.9.3 Monte Carlo Simulation

IV.1.9.4 Case Study: VaR of the S&P 500 Index

IV.1.10 Summary and Conclusions

IV.2 Parametric ...