Spelling suggestions: "subject:"deltanormal a'method"" "subject:"deltanormal 20method""
1 |
A Study of the Delta-Normal Method of Measuring VaRKondapaneni, Rajesh 09 May 2005 (has links)
This thesis describes the Delta-Normal method of computing Value-at-Risk. The advantages and disadvantages of the Delta-Normal method compared to the Historical and Monte Carlo method of computing Value-at-Risk are discussed. The Delta-Normal method of computing Value-at-Risk is compared with the Historical Simulation method of Value-at-Risk using an implementation of portfolio consisting of ten stocks for 400 time intervals. Based on the normality of the distribution of the portfolio risk factors, Delta-Normal would be suitable if the distribution is normal and Historical Simulation method of calculating Value-at-Risk would be ideally suited if the distribution is non-normal.
|
Page generated in 0.0267 seconds