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.
Identifer | oai:union.ndltd.org:wpi.edu/oai:digitalcommons.wpi.edu:etd-theses-1792 |
Date | 09 May 2005 |
Creators | Kondapaneni, Rajesh |
Contributors | Arthur C. Heinricher, Advisor, , |
Publisher | Digital WPI |
Source Sets | Worcester Polytechnic Institute |
Detected Language | English |
Type | text |
Format | application/pdf |
Source | Masters Theses (All Theses, All Years) |
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