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

davidr at rhotrading.com davidr at rhotrading.com
Thu Jan 29 18:45:49 CET 2009


There's also
http://www.fea.com/resources/pdf/a_endsearchvar.pdf
Ending the Search for Component VaR
by
Mark B. Garman
Financial Engineering Associates, Inc.

Remember that for options, the normality assumption is wrong
and you have to use skew and kurtosis or simulations.

-- David


-----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 Guy Yollin
Sent: Thursday, January 29, 2009 10:56 AM
To: megh; r-sig-finance at stat.math.ethz.ch
Subject: Re: [R-SIG-Finance] [R-sig-finance] Conponent VaR for
someoption portfolio

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:

http://www.imes.boj.or.jp/english/publication/mes/2002/me20-1-4.pdf

Best,

-- 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.

Thanks
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