Equity option portfolio VaR

Discussion on Value-at-Risk Models
Forum rules
DISCLAIMER: We do not warrant or represent that this forum or its content is free of viruses, worms or other code that might be contaminating or destructive. We cannot guarantee that documents or files downloaded from the Site will be free from viruses and we do not accept any responsibility for any damage or loss caused by any virus. Accordingly, for your own protection, you must use virus-checking software when using the forum. You must not post or provide to us via the forum, any document or file which you believe may contain a virus. You must virus check any document or file which you intend to post or provide to us via the forum. You must ensure that any document or file you intend to post to the forum does not contravene any applicable laws or contravene any person's legal rights. We do not accept any responsibility for any damage or loss you may suffer.
jop
Posts: 1
Joined: Thu Dec 12, 2013 11:04 pm

Equity option portfolio VaR

Postby jop » Fri Dec 13, 2013 3:10 am

Dear Prof Alexander

I'm interested in the possible approaches (Monte Carlo/Historical simulation with full revalued portfolio) to calculate 1-day VaR for a portfolio consisting of European options.

Are the following ok?
- Baseline Historical Simlation, Filtered Historical Simulation, Monte Carlo (Geometric Brownian Motion), Monte Carlo (EVT-copula)

And can you suggest some more interesting approaches.

Kind regards
Jop

Return to “Volume IV”

Who is online

Users browsing this forum: Baidu [Spider] and 1 guest