

 |
 |
 |
 |
 |
 |
 |
 |
 |
 Integrated Value-at-Risk Modeling
 |
 |
 |
 |
 |
 |

 |
 |
 |
 |
 |
 |

Organization: | Wolfram Research, Inc. |
Address: | 100 Trade Center Dr.
Champaign, IL 61820 |
 |
 |
 |
 |
 |
 |
 To demonstrate some useful features of Mathematica's design, we turn to Benninga and Wiener's short paper on Value-at-Risk (VaR), the modern risk-measuring index. VaR is defined as the lowest quantile of the potential losses that can occur within a given portfolio during a specific time period. The time period T and the confidence level q are the two major parameters, which are chosen carefully and are dependent upon the goal of the risk management (regulatory reporting, corporate risk management, etc.). For example, suppose that a portfolio manager has a daily VaR equal to $1 million at 1%. This means that, assuming normal market conditions, there is only one chance in a hundred that there will be a daily loss bigger than $1 million. While this problem can be easily stated, finding a solution can frequently be computationally difficult.
 |
 |
 |
 |
 |
 |

 |
 |
 |
 |
 |
 |
 matrix algebra, defining functions, finance
 |
 |
 |
 |
 |
 |

 |
 |
 |
 |
 |
 |
 http://library.wolfram.com/examples/var/
 |
 |
 |
 |
 |
 |

| VaRmodeling.nb (72.1 KB) - Mathematica Notebook |
 |
 |
|
 |
 |
 |
 |
| | | |  | |
|