--%>

Explain simple and complicated formula of value at risk

Explain the difference between simple and complicated formula of value at risk.

E

Expert

Verified

The difference in between complicated and simple is essentially the difference among portfolios without derivatives and those with. If your portfolio only consists of linear instruments then computation involving normal distributions and standard deviations, all is done analytically. This is also the case when the time horizon is short therefore derivatives can be approximated through a position of delta in the underlying.

   Related Questions in Financial Management

  • Q : What is the Finite-Difference Method

    What is the Finite-Difference Method?

  • Q : Estimate the changes in the margin

    Suppose current settlement price on a CME DM futures contract is $0.6080/DM. You contain a long position in futures contract. Presently your margin account contain a balance of $1,700. The next three days' settlement prices are $0.6066, $0.6073, & $0.598

  • Q : How to submit financial management

    Give me steps to submit my financial management problems

  • Q : Explain number of dimensions in Monte

    Explain number of dimensions in Monte Carlo method.

  • Q : Distribution of quants’ salaries

    Explain distribution of quants’ salaries with a survey on a company.

  • Q : How is estimate of volatility or the

    How is estimate of volatility or the implied volatility used?

  • Q : Determine value when measure

    If we can’t measure calibration parameter how can we choose on its value?

  • Q : Acc Fin Assume that you inherited some

    Assume that you inherited some money. A friend of yours is working as an unpaid intern at a local brokerage firm, and her boss is selling securities that call for 4 payments of $50 (1 payment at the end of each of the next 4 years) plus an extra payment of $1,000 at the end of Year 4. Your friend sa

  • Q : Fund Eurodollar loans You are an

    You are an investment banker advising a Eurobank regarding a new international bond offering it is considering.  The proceeds are to be utilized to fund Eurodollar loans to bank clients. What sort of bond instrument would you suggested that the bank consi

  • Q : Personal Property what would it cost an

    what would it cost an insurance company to replace a family's personal property that originally cost $18,000? the replacement costs for the items have increased 15 percent.