Quantitative Risk Management: A Practical Guide to Financial Risk, + Website

Chapter 9

Using Volatility and VaR

We discussed in Chapter 8 the standard tools used in quantitative risk measurement—primarily volatility and VaR. In this chapter, we apply these tools to measuring the market risk of a simple portfolio of two assets—one government bond and one equity futures. The idea is to show how the tools are applied in practice by way of an example. We will roughly parallel the structure of Chapter 8, providing simple examples of the topics.