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

[megh]

Hi  Guy , thanks so much. This document is really useful. Although I think
that will serve most of my purposes, still I found that they adopted
Simulation approach to calculate all those analytics. My question is that,
is it possible to have those under Parametric approach?

Thanks and regards,


Guy Yollin-2 wrote:
> 
> 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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