Assessing the performance of the VaR models on nonlinear portfolio
This paper aims to assess the performance of the VaR models on nonlinear portfolio. Historical Simulation, Monte-Carlo simulation and Delta-Gamma –normal model are implemented to estimate the daily VaR of a nonlinear portfolio consisting of two European Call options from 01/10/2012 to 13/09/2013. Th...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2013
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| Online Access: | https://eprints.nottingham.ac.uk/26818/ |