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.

Creator

• Kondapaneni, Rajesh

贡献者

• Heinricher, Arthur C.

Degree

• MS

Unit

• Mathematical Sciences

Publisher

• Worcester Polytechnic Institute

Language

• English

Identifier

• etd-050905-104553

关键词

• Delta-Normal Method
• VaR

Advisor

• Heinricher, Arthur C.

Defense date

• 2005-05-05

Year

• 2005

Date created

• 2005-05-09

Resource type

• Thesis

Rights statement

• In Copyright

最新修改

• 2020-11-24