Structuring an optimal portfolio from the Private Bank perspective and measuring the market risk using "Value-at-Risk" Methodology
ABSTRACT An important tool to quantify the market risk of a portfolio is "Value-at-Risk"(VaR) methodology. Consequently, value at risk models will play an increasingly important role within the securities industry, and some securities regulators will increasingly rely on the outputs of th...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English English English English English English English English English English English English English English English English English English English English English English English English English English |
| Published: |
2008
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| Online Access: | https://eprints.nottingham.ac.uk/21723/ |
| _version_ | 1848792293750865920 |
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| author | Wong, Max Yuen Kuan |
| author_facet | Wong, Max Yuen Kuan |
| author_sort | Wong, Max Yuen Kuan |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | ABSTRACT
An important tool to quantify the market risk of a portfolio is "Value-at-Risk"(VaR) methodology. Consequently, value at risk models will play an increasingly important role within the securities industry, and some securities regulators will increasingly rely on the outputs of these models for regulatory purposes. This will have significant implications for both the management of the firms and for the regulators of those firms.
The study done earlier was an attempt to determine the impact of associating VaR on the process of diversification to improve the return of investor's portfolio along the CML.
The second study is to examine whether VaR can be applied to replace the current practice employed by Citigroup Private Bank to determine the appropriate LV of the structured product. |
| first_indexed | 2025-11-14T18:42:06Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-21723 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English English English English English English English English English English English English English English English English English English English English English English English English English English |
| last_indexed | 2025-11-14T18:42:06Z |
| publishDate | 2008 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-217232022-03-21T16:04:56Z https://eprints.nottingham.ac.uk/21723/ Structuring an optimal portfolio from the Private Bank perspective and measuring the market risk using "Value-at-Risk" Methodology Wong, Max Yuen Kuan ABSTRACT An important tool to quantify the market risk of a portfolio is "Value-at-Risk"(VaR) methodology. Consequently, value at risk models will play an increasingly important role within the securities industry, and some securities regulators will increasingly rely on the outputs of these models for regulatory purposes. This will have significant implications for both the management of the firms and for the regulators of those firms. The study done earlier was an attempt to determine the impact of associating VaR on the process of diversification to improve the return of investor's portfolio along the CML. The second study is to examine whether VaR can be applied to replace the current practice employed by Citigroup Private Bank to determine the appropriate LV of the structured product. 2008 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/21723/1/Thesis_-_Structuring_an_optimal_portfolio_from_the_Private_Bank_perspective_and_measuring_the_market_risk_using_VaR_v1.pdf application/pdf en https://eprints.nottingham.ac.uk/21723/2/A1.0_Breakdown_of_US_stocks.pdf application/pdf en https://eprints.nottingham.ac.uk/21723/3/A2.0_S%26P500.pdf application/pdf en https://eprints.nottingham.ac.uk/21723/4/A3.0_US_Generic_Govt_10_Yr_Govt._Bond.pdf application/pdf en https://eprints.nottingham.ac.uk/21723/5/A4.0_Portfolio_Analyzer_Eq_Pf_before_Rebalancing.pdf application/pdf en https://eprints.nottingham.ac.uk/21723/6/A4.1_Portfolio_Analyzer_Eq_Pf_after_Rebalancing.pdf application/pdf en https://eprints.nottingham.ac.uk/21723/7/A4.2_Portfolio_Analyzer_Basket_of_US_Stocks_in_MLD.pdf application/pdf en https://eprints.nottingham.ac.uk/21723/8/A5.0_Portfolio_Optimizer_Eq_Pf_before_Rebalancing.pdf application/pdf en https://eprints.nottingham.ac.uk/21723/9/A5.1_Portfolio_Optimizer_Eq_Pf_after_Rebalancing.pdf application/pdf en https://eprints.nottingham.ac.uk/21723/10/A5.2_Portfolio_Optimizer_Bond_Pf.pdf application/pdf en https://eprints.nottingham.ac.uk/21723/11/A5.3_Portfolio_Optimizer_Basket_of_US_Stocks_in_MLD.pdf application/pdf en https://eprints.nottingham.ac.uk/21723/12/A6.0_Correlation_coefficient_of_Stocks.pdf application/pdf en https://eprints.nottingham.ac.uk/21723/13/A6.1_Correlation_coefficient_of_Bonds.pdf application/pdf en https://eprints.nottingham.ac.uk/21723/14/A6.2_Correlation_coefficient_between_Bond_%26_Eq_Pfs.pdf application/pdf en https://eprints.nottingham.ac.uk/21723/15/A7.0_Asset_grouping_of_Eq_Pf.pdf application/pdf en https://eprints.nottingham.ac.uk/21723/16/A7.1_Asset_grouping_of_Bond_Pf.pdf application/pdf en https://eprints.nottingham.ac.uk/21723/17/A8.0_Var_of_Div_Eq_Pf_before_Rebalancing.pdf application/pdf en https://eprints.nottingham.ac.uk/21723/18/A8.1_Var_of_Div_Eq_Pf_after_Rebalancing.pdf application/pdf en https://eprints.nottingham.ac.uk/21723/19/A8.2_VaR_of_Bond_Pf.pdf application/pdf en https://eprints.nottingham.ac.uk/21723/20/A8.3_VaR_of_Bond_%26_Eq_Pf.pdf application/pdf en https://eprints.nottingham.ac.uk/21723/21/A8.4_VaR_of_Pf_Mix_with_Rf_assets.pdf application/pdf en https://eprints.nottingham.ac.uk/21723/22/A8.5_VaR_of_Basket_of_US_Stocks.pdf application/pdf en https://eprints.nottingham.ac.uk/21723/23/A8.6_VaR_of_Optimal_Basket_of_US_Stocks.pdf application/pdf en https://eprints.nottingham.ac.uk/21723/24/A9.0_Stocks_with_incremental_LVs.pdf application/pdf en https://eprints.nottingham.ac.uk/21723/25/A10_Citigroup_Std_LV_Table.pdf application/pdf en https://eprints.nottingham.ac.uk/21723/26/A11_The_Optimal_Portfolio.pdf Wong, Max Yuen Kuan (2008) Structuring an optimal portfolio from the Private Bank perspective and measuring the market risk using "Value-at-Risk" Methodology. [Dissertation (University of Nottingham only)] (Unpublished) VaR Value at Risk Beta Alpha LV LNW Diverfication CAPM Modern Portfolio Optimal portfolio Tail Conditional Expectation (TCE) Spectral Measure of Risk Expected Shortfall Stress test Back testing Correlation Risk Free Rate Confidence Level Tatical Allocation Strategic Allocation CML |
| spellingShingle | VaR Value at Risk Beta Alpha LV LNW Diverfication CAPM Modern Portfolio Optimal portfolio Tail Conditional Expectation (TCE) Spectral Measure of Risk Expected Shortfall Stress test Back testing Correlation Risk Free Rate Confidence Level Tatical Allocation Strategic Allocation CML Wong, Max Yuen Kuan Structuring an optimal portfolio from the Private Bank perspective and measuring the market risk using "Value-at-Risk" Methodology |
| title | Structuring an optimal portfolio from the Private Bank perspective and measuring the market risk using "Value-at-Risk" Methodology |
| title_full | Structuring an optimal portfolio from the Private Bank perspective and measuring the market risk using "Value-at-Risk" Methodology |
| title_fullStr | Structuring an optimal portfolio from the Private Bank perspective and measuring the market risk using "Value-at-Risk" Methodology |
| title_full_unstemmed | Structuring an optimal portfolio from the Private Bank perspective and measuring the market risk using "Value-at-Risk" Methodology |
| title_short | Structuring an optimal portfolio from the Private Bank perspective and measuring the market risk using "Value-at-Risk" Methodology |
| title_sort | structuring an optimal portfolio from the private bank perspective and measuring the market risk using "value-at-risk" methodology |
| topic | VaR Value at Risk Beta Alpha LV LNW Diverfication CAPM Modern Portfolio Optimal portfolio Tail Conditional Expectation (TCE) Spectral Measure of Risk Expected Shortfall Stress test Back testing Correlation Risk Free Rate Confidence Level Tatical Allocation Strategic Allocation CML |
| url | https://eprints.nottingham.ac.uk/21723/ |