A METHOD TO FIND HISTORICAL VaR FOR PORTFOLIO THAT FOLLOWS S&P CNX NIFTY INDEX BY ESTIMATING THE INDEX VALUE

K. V. N. M Ramesh
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K. V. N. M Ramesh: Barclays Capital Singapore, 60B Orchard Road, The Atrium@ Orchard #10-00, Singapore 238891, Singapore

Chapter 3 in Risk Management and Value:Valuation and Asset Pricing, 2008, pp 61-70 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractFinancial institutions face the important task of estimating the controlling of their exposure to market risk, which arises through different risk factors in their portfolio. Measurement of market risk has focused on a metric called Value at Risk (VaR). VaR quantifies the maximal amount that may be lost in a portfolio for a given period of time, at certain confidence level. For large portfolios the risk factor can be taken as an index. In this chapter, we come up with a method of estimating Historical VaR for a portfolio that reflects the S&P CNX Nifty index at any point of time. We assume that the value of index X (t) is independent of time and the distribution of X (t) is not necessarily Gaussian.

Keywords: Risk; Value; Management; Derivatives (search for similar items in EconPapers)
Date: 2008
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