This report is for MA575: Market and Credit Risk Models and Management, given by Professor Marcel Blais. In this project, three different methods for estimating Value at Risk (VaR) and Expected Shortfall (ES) are used, examined, and compared to gain insightful information about the strength and weakness of each method. In the first part of this project, a portfolio of underlying assets and vanilla options were formed in an Interactive Broker paper trading account. Value at Risk was calculated and updated weekly to measure the risk of the entire portfolio. In the second part of this project, Value at Risk was calculated using semi-parametric model. Then the weekly losses of the stock portfolio and the daily losses of the entire portfolio were both fitted into ARMA(1,1)-GARCH(1,1), and the estimated parameters were used to find their conditional value at risks (CVaR) and the conditional expected shortfalls (CES).

Creator

• Qu, Jing

Colaboradores

• Blais, Marcel Y.

Degree

• MS

Unit

• Mathematical Sciences

Publisher

• Worcester Polytechnic Institute

Language

• English

Identifier

• etd-050212-110755

Palavra-chave

• Value at Risk
• Portfolio Optimization
• ARMA-GARCH Model
• Expected Shortfall
• Risk Reduction

Advisor

• Blais, Marcel Y.

Defense date

• 2012-05-01

Year

• 2012

Date created

• 2012-05-02

Resource type

• Report

Rights statement

• In Copyright

Última modificação

• 2021-01-28