Value at Risk – VaR

VaR is a market risk measurement approach that uses the statistical analysis of historical market trends and volatilities to estimate the likelihood that a given portfolio’s losses will exceed a certain amount. It measures the largest loss likely to be suffered on a portfolio position over a holding period (usually 1 to 10 days) with…Read more

Volatility trend analysis

Volatility trend analyses were carried out by calculating sixty day moving averages of daily SMA volatilities in the given look-back period. The daily SMA volatility has been calculated based on prior sixty return observations. The graphical depiction of the trend line shows the average volatility of the next sixty volatilities at a given point in…Read more

Portfolio volatility (vol)

The portfolio’s daily volatility taking into account correlations has been calculated using the formula: Where . a, b and c are the weights of the respective asset in the portfolio X, Y, and Z are the assets in the portfolio Variance (X) is the variance in X price/ rate returns, i.e. it is X’s volatility…Read more