Risk Management Through VaR Models: A case of Indian Stock Market (NSE)

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This book gives an overview of one of the most widespread Value at Risk Models in use in most of risk management departments across the financial industry. VaR calculates the worst expected loss over a given horizon at a given confidence level under normal market conditions. VaR estimates can be calculated for various types of risk: market, credit, operational, etc. I focused only on Market Risk. Market risk is the risk that the value of an investment will decrease due to moves in market factors such as prices, rates, volatilities and other relevant market parameters. In such a context, VaR provides a single number summarizing the organization’s exposure to market risk and the likelihood of an unfavorable move. There are mainly three groups of VaR: Analytical (also called Parametric), Historical Simulations, and Monte Carlo Simulations. Non Parametric: GARCH, EGARCH. Semi Parametric: CaVaR, Extreme Value Theory etc. Here I have used parametric and non parametric VaR models for NSE daily and intraday data.