[R-SIG-Finance] [R-sig-finance] Conponent VaR for some option portfolio

Guy Yollin guy.yollin at rotellacapital.com
Thu Jan 29 17:55:43 CET 2009

I've used this paper as a guide to implementing cvar decomposition in R/S-PLUS:

Yamai, Yasuhiro & Yoshiba, Toshinao, 2002.
"Comparative Analyses of Expected Shortfall and Value-at-Risk: Their Estimation Error, Decomposition, and Optimization,"
Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 20(1), pages 87-121, January.

It's available here:



-- Guy

-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch [mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of megh
Sent: Wednesday, January 28, 2009 9:21 PM
To: r-sig-finance at stat.math.ethz.ch
Subject: [R-SIG-Finance] [R-sig-finance] Conponent VaR for some option portfolio

Can people here please guide me how to calculate Componrnt VaR (sensitivity)
of an option position, for a portfolio which consists of number of stocks
and option contracts (put ot call or both). Any document, research paper
over net is highly appreciated.

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