Structuring an optimal portfolio from the Private Bank perspective and measuring the market risk using "Value-at-Risk" Methodology

QR Code

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...

Full description

Bibliographic Details
Main Author:	Wong, Max Yuen Kuan
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
Subjects:	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
Online Access:	https://eprints.nottingham.ac.uk/21723/

Similar Items

Value-at-Risk for Financial Derivative Instruments
by: Lv, Mingyue
Published: (2011)

Assessing the performance of the VaR models on nonlinear portfolio
by: ZHU, Guantao
Published: (2013)

Estimation of tail risk based on extreme expectiles
by: Daouia, Abdelaati, et al.
Published: (2017)

Can Chinese security companies use Value at Risk (VaR) to measure market risk they faced: an empirical study?
by: Tan, Xiao
Published: (2006)

Assessing the Performance of Parametric, Non-Parametric and Semi-Parametric Value-at-Risk Models Applied to the Chinese Stock Market
by: PENG, BO
Published: (2006)

Value-At-Risk: Effective and Accurate Risk Management of China's Stock Index
by: YU, Yang
Published: (2006)

Applications of neural networks in market risk
by: Mostafa, Fahed.
Published: (2011)

An empirical analysis of Value at Risk and Expected Shortfall in CDS and Equity markets
by: Chen, Hsiao-Ling
Published: (2016)

Parametric Value at Risk models for hedge fund application
by: Micallef, Pierre
Published: (2008)

Portfolio optimisation with Equally-weighted risk contributions strategy
by: Kladnik, Tina
Published: (2009)

An Empirical Analysis of the Contagion Risk in the Stock Markets: Evidence with E-GARCH VaR Model
by: Gao, Song
Published: (2014)

Credit Portfolio Management in Financial Institutions
by: Sawhney, Mamta
Published: (2005)

Kecekapan pengurusan aset dalam kalangan guru kanan mata pelajaran teknik dan vokasional di Selangor, Malaysia
by: Mohd Awal @ Anuar, Nur Asmarani
Published: (2015)

An Investigation into what factors influence the expectation of life made by life insurance companies.
by: Anand, Aniel
Published: (2006)

Discrepancies of positive and negative consumption expectations in high risk drinking experiences
by: Baird, Michael, et al.
Published: (2011)

An Extended Model of Disconfirmation: Expectancies Relating to High Risk Drinking Experiences
by: Baird, Michael, et al.
Published: (2005)

On the performance of the minimum VaR portfolio
by: Durand, Robert, et al.
Published: (2010)

Optimal Portfolio Structure – Designing a Growth and Risk Balanced Portfolio of U.S. Bank Stocks: Predictive Modelling Through Monte Carlo Simulation
by: Dederichs, Julian
Published: (2016)

Systemic risk and macroeconomic fat tails
by: Bougheas, Spiros, et al.
Published: (2018)

Electronic portfolios: Demonstrating student competence against external accreditation standards
by: Stanley, David, et al.
Published: (2012)

Risk, return and market condition: a new functional-beta capital asset pricing model
by: Zhuang, Yuchen
Published: (2009)

Quantity versus quality: how does level of predation threat affect Cape ground squirrel vigilance?
by: Unck, C., et al.
Published: (2009)

Evaluating the impact of market reforms on Value-at-Risk forecasts of Chinese A and B shares
by: Da Veiga, Bernardo, et al.
Published: (2008)

Assessing the Performance of Value-at-Risk Models in Chinese Stock Market
by: Lin, Lin
Published: (2008)

An empirical test on the determinants of households' stock market participation decision and portfolio composition.
by: Ma, Lin
Published: (2007)

Evolutionary approaches for portfolio optimization
by: Lwin, Khin Thein
Published: (2015)

A Subcarrier and Power Allocation Algorithm for OFDMA Full-Duplex Systems
by: Cirik, A., et al.
Published: (2015)

Work related risk factors for lower back pain among nurses in Ahmadu Bello University Teaching Hospital (ABUTH), Zaria-Nigeria
by: Muhammed, Awwal Farooq, et al.
Published: (2015)

Changing drinking behaviour: the mediating effects of satisfaction on consumption experiences and readiness to change
by: Baird, Michael, et al.
Published: (2009)

Modelling and analysis of real world airport gate allocation problem
by: Neuman, Urszula Monika
Published: (2015)

Behavioral Portfolio Choice: Limited Stock Market Participation and Heterogeneous Portfolio Composition
by: Pan, Chen
Published: (2009)

Hybridising metaheuristics and exact methods for portfolio optimisation problem
by: Cui, Tianxiang
Published: (2016)

Quantification of nutrient uptake and allocation under phosphate stress in rice using ionomics techniques
by: Pandey, Priyanka
Published: (2017)

Resource allocation for job optimization in multi-cloud environment
by: Mohamaddiah, Mohd Hairy
Published: (2023)

Research on Systemic Risks’ Spillover Effects of China’s Commercial Banks under COVID-19
by: Ma, Lei
Published: (2020)

Comparison of coronary heart disease genetic assessment with conventional cardiovascular risk assessment in primary care: reflections on a feasibility study
by: Qureshi, Nadeem, et al.
Published: (2015)

The buy-write strategy, index investment and the efficient market hypothesis: more Australian evidence
by: O'Connell, Darren, et al.
Published: (2009)

Extreme M-quantiles as risk measures: from L1 to Lp optimization
by: Daouia, Abdelaati, et al.
Published: (2019)

Mean-VaR portfolio optimization: a nonparametric approach
by: Lwin, Khin T., et al.
Published: (2017)

Implementation and performance evaluation of spectrum sensing using software defined radio
by: Huang, Yan
Published: (2017)