metoda absolutnej wartości zagrożonej
English translation: absolute /relative value at risk method
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| 08:21 Feb 3, 2015 |
| Polish to English translations [PRO] Bus/Financial - Investment / Securities / | |||||||
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|  Selected response from: Frank Szmulowicz, Ph. D. United States Local time: 00:48 | ||||||
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| 3 +1 | absolute /relative value at risk method |
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| Absolute VaR |
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Answers
3 hrs confidence: 
peer agreement (net): +1
peer agreement (net): +1absolute /relative value at risk method Explanation: The principles to be applied for the choice between relative and absolute VaR; http://www.esma.europa.eu/system/files/10_788.pdf Relative VaR or Earnings-at-Risk (EaR) As described in the absolute VaR section, Mean Zero Absolute VaR assumes expected returns are Normal, which implies a mean of zero. The final VaR which is a de-facto one-day absolute VaR does not take into account the portfolio mean returns (see Daily Earnings at Risk or DEaR) which assumes volatility is stationary (=no drift). Relative Var Value at Risk (VaR) is computed as the value at a chosen percentile p where q is the p-th quantile Relative VaR or Earnings at Risk, as it is commonly known, is designed around one simple concept: Instead of assuming the position's mean is zero, Absolute VaR=( 0 - Portfolio Volatility)*Confidence. we compute the average mean of the portfolio which we incorporate into our volatility / Value-at-Risk computation. Relative VaR=( Portfolio Mean Expected Return - Portfolio Volatility)*Confidence. So, instead of assuming risk as pure volatility, we incorporate expected returns. When discussing relative VaR, most practitioners tend to emphasize the mean expected return of the portfolio from which scaled volatility will be deducted in order to obtain Value-at-Risk. As mentioned above, the mean zero assumption affects different parts of the VaR computation. As such, a consistent framework must accommodate these same points with a mean expected return: http://www.financial-risk-manager.com/risks/market/relativev... cccccccccccccccccc |
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Reference comments
46 mins peer agreement (net): +1 |
| Reference: Absolute VaR Reference information: Takie wpisy są. http://www.financial-risk-manager.com/risks/market/absolutev... The concept of Value at Risk (VaR) measures the “risk” of a portfolio. ... The above definition also known absolute Value at Risk. Cor- respondingly, the relative ... -------------------------------------------------- Note added at 49 min (2015-02-03 09:11:49 GMT) -------------------------------------------------- RELATYWNA WARTOŚĆ ZAGROŻONA (RELATIVE VaR) LINK NADRZĘDNY https://www.google.pl/#q=relative Value at I might be wrong:(, ale moze proste rozwiazanie wchodzi w rachube.... -------------------------------------------------- Note added at 1 godz. (2015-02-03 10:11:44 GMT) -------------------------------------------------- Metoda- tu raczej METHODOLOGY POR: https://www.google.pl/#q=VaR methodology |
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