VALUE AT RISK (VAR) WITH RESPECT TO SINGLE RISK FACTOR
Journal Title: Revista Romana de Statistica - Year 2010, Vol 58, Issue 4
Abstract
The paper reports on developing a value at risk (VaR) model with respect to a single risk factor. In the process, it shows how stochastic differential equation (SDE) and its variants can be considered as special cases of the VaR framework developed. Using VaR, the main result (equation) was obtained with respect to the confidence level c of a position consisting of N of the same instruments depending solely on a single underlying risk factor S. The results of the analysis indicate that one can write down the two formulas for risk involved in both a long and short position in one and the same risk factor.
Authors and Affiliations
Anass BAYAGA
Keywords
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