A Study of the Delta-Normal Method of Measuring VaR

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 Hi...

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Bibliographic Details
Main Author:	Kondapaneni, Rajesh
Other Authors:	Arthur C. Heinricher, Advisor
Format:	Others
Published:	Digital WPI 2005
Subjects:	VaR Delta-Normal Method Portfolio management Risk assessment Random variables
Online Access:	https://digitalcommons.wpi.edu/etd-theses/793 https://digitalcommons.wpi.edu/cgi/viewcontent.cgi?article=1792&context=etd-theses

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spelling	ndltd-wpi.edu-oai-digitalcommons.wpi.edu-etd-theses-17922019-03-22T05:48:40Z A Study of the Delta-Normal Method of Measuring VaR Kondapaneni, Rajesh 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. 2005-05-09T07:00:00Z text application/pdf https://digitalcommons.wpi.edu/etd-theses/793 https://digitalcommons.wpi.edu/cgi/viewcontent.cgi?article=1792&context=etd-theses Masters Theses (All Theses, All Years) Digital WPI Arthur C. Heinricher, Advisor VaR Delta-Normal Method Portfolio management Risk assessment Random variables
collection	NDLTD
format	Others
sources	NDLTD
topic	VaR Delta-Normal Method Portfolio management Risk assessment Random variables
spellingShingle	VaR Delta-Normal Method Portfolio management Risk assessment Random variables Kondapaneni, Rajesh A Study of the Delta-Normal Method of Measuring VaR
description	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.
author2	Arthur C. Heinricher, Advisor
author_facet	Arthur C. Heinricher, Advisor Kondapaneni, Rajesh
author	Kondapaneni, Rajesh
author_sort	Kondapaneni, Rajesh
title	A Study of the Delta-Normal Method of Measuring VaR
title_short	A Study of the Delta-Normal Method of Measuring VaR
title_full	A Study of the Delta-Normal Method of Measuring VaR
title_fullStr	A Study of the Delta-Normal Method of Measuring VaR
title_full_unstemmed	A Study of the Delta-Normal Method of Measuring VaR
title_sort	study of the delta-normal method of measuring var
publisher	Digital WPI
publishDate	2005
url	https://digitalcommons.wpi.edu/etd-theses/793 https://digitalcommons.wpi.edu/cgi/viewcontent.cgi?article=1792&context=etd-theses
work_keys_str_mv	AT kondapanenirajesh astudyofthedeltanormalmethodofmeasuringvar AT kondapanenirajesh studyofthedeltanormalmethodofmeasuringvar
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A Study of the Delta-Normal Method of Measuring VaR

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