Analysis of the Value at Risk (VaR) of a Portfolio of 4 Shares

Analysis of the Value at Risk (VaR) of a Portfolio of 4 Shares Essay example
Finance & Accounting
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Analysis of the Value at Risk (VaR) of a Portfolio of 4 Shares Abstract: Value at Risk (VaR) has grown to be an accepted measure by the analysts to identify the risk associated with the markets. VaR is understood as the greatest possible transformation in portfolio value within the given probable period…


In this study, we highlight the various methodologies like the value at risk, Mont Carlo VaR analysis, bootstrap method of analysis and the portfolio analysis. The study in this context analyzes the performance of the shares of the 4 companies namely Amec PLC, Lloyds Banking Group PLC, Lonmin PLC and Tesco PLC. Introduction: Value-at-Risk: The introduction of Value-at-Risk (VaR) as an established method for measuring market risk is an element of the advancement of risk management. The relevance of VaR has been extensive from its early use in security houses to profit-making banks and business and from marketplace risk to credit risk. Subsequent to the foreword in October 1994 by the Risk metrics by JP Morgan, the VaR is an assessment of the worst estimated failure that a firm may bear over a stage of time that has been particular by user, under standard market circumstances and a specific level of assurance. This evaluation may be attained in various ways, by means of a numerical model or by Computer calculated models. VaR is a calculation of market risk. It is the highest loss which can happen by incurring N % confidence above the property period of n days. VaR is the predictable loss of a portfolio over a particular time stage for a lay down level of probability. ...
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