Four market risk case studies for your weekend read.
2 mins read April was a great months for putting together case studies around market risk. We managed to do three before we
2 mins read April was a great months for putting together case studies around market risk. We managed to do three before we
3 mins read Sharpe Ratio The Sharpe Ratio measures total risk-adjusted return. The value specifically is the ratio of excess return over the
< 1 min read The Economic Capital debate triggered by Basel II requires a mind shift that needs to flows all the way down
5 mins read Calculating Variance-Covariance (VCV) Value at Risk (VaR) This method assumes that the daily returns follow a normal distribution. From the
4 mins read Methodology Setting the Scene Sample Portfolio Our sample portfolio that we will use for calculating Value at Risk (VaR) consists
4 mins read All methods have a common base but then diverge in how they actually calculate Value at Risk (VaR). They also have a common problem in assuming that the future will follow the past. This shortcoming is normally addressed by supplementing any VAR figures with appropriate sensitivity analysis and/or stress testing. In general the VAR calculation follows five steps