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

Megh Dal megh700004 at yahoo.com
Mon Feb 2 16:53:23 CET 2009

Thanks Brian for this reference. Can I have those papers? Atleast some weblinks will also be fine.


--- On Mon, 2/2/09, Brian G. Peterson <brian at braverock.com> wrote:

> From: Brian G. Peterson <brian at braverock.com>
> Subject: Re: [R-SIG-Finance] [R-sig-finance] Conponent VaR for some option portfolio
> To: "megh" <megh700004 at yahoo.com>
> Cc: r-sig-finance at stat.math.ethz.ch
> Date: Monday, February 2, 2009, 7:58 PM
> megh wrote:
> > 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.
> Sorry to be late to this thread.  As others have noted,
> option portfolios are not normally distributed, so you need
> to take skewness and kurtosis into account at least, and
> depending on the complexity of your options portfolio, you
> may need to take the greeks on the options into account as
> well.
> The R package PerformanceAnalytics includes functions for
> computing portfolio component VaR and Expected Shortfall
> using the Gaussian, Cornish Fisher, and Student-t
> approaches.   We've recently published papers in the
> Journal of Risk, RISK, and Computational Finance that
> describe these approaches.  these papers are referenced in
> PerformanceAnalytics, and I would be happy to make them
> available upon request.
> Regards,
>     - Brian
> -- Brian G. Peterson
> http://braverock.com/brian/
> Ph: 773-459-4973
> IM: bgpbraverock

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