[R-SIG-Finance] Portfolio VaR and Asset VaR

AIE ATUMA gttga2000 at yahoo.com
Wed Jun 3 12:20:24 CEST 2015


Dear Brian,
The Portfolio VaR is expected to be lower than the sum of the individual asset VaRs. This is made possible due to correlation between the individual assets. Thank You and Best Regards,

Emeka .I. A
Integrity is work your talk don't talk your work 


     On Wednesday, 3 June 2015, 11:03, Brian G. Peterson <brian at braverock.com> wrote:
   

 Jan is correct.  Value at Risk does not have the property of being 
'coherent' in the sense described in Artzner's papers.

R does have a coherent portfolio VaR available.  You can call 
portfolio_method='component' in the VaR function in PerformanceAnalytics 
which will give you the portfolio VaR and how much each asset 
contributes to the overall portfolio VaR.

Regards,

Brian


On 06/03/2015 04:43 AM, Annaert Jan wrote:
> I think this is perfectly possible. For instance, if A to E are individual
> stocks and P is, say, an equally weighted portfolio of these stocks. If
> firm-specific risk is high relative to systematic risk (which is typical),
> firm-specific risk may be to a large extent diversified away in P. As a
> consequence, VaR of P may be (much) smaller than each of the individual
> VaRs.
> HTH,
>
>
> Jan Annaert
>
> From:  Christofer Bogaso <bogaso.christofer at gmail.com>
> Date:  woensdag 3 juni 2015 05:55
>
> Let say I have a diversified portfolio of 5 assets. The individual
> Asset VaRs for them are $A, $B, $C, $D, & $E. And the overall
> portfolio VaR is $P. Assumed all VaR numbers are reported in absolute
> number
>
> It appears that P is less than all 5 individual VaRs.
>
> Can that happen? I know that P < (A+B+C+D+E). However here in my
> calculation what happened is P is less than each asset VaR.
>
> Appreciate your view.
>
> Thanks and regards,

_______________________________________________
R-SIG-Finance at r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should go.


  
	[[alternative HTML version deleted]]



More information about the R-SIG-Finance mailing list