Worcester Polytechnic Institute Electronic Theses and Dissertations Collection

Title page for ETD etd-050905-104553


Document Typethesis
Author NameKondapaneni, Rajesh
URNetd-050905-104553
TitleA Study of the Delta-Normal Method of Measuring VaR
DegreeMS
DepartmentMathematical Sciences
Advisors
  • Arthur Heinricher, Advisor
  • Keywords
  • VaR
  • Delta-Normal Method
  • Date of Presentation/Defense2005-05-05
    Availability unrestricted

    Abstract

    This thesis describes the Delta-Normal method of computing Value-at-Risk. The advantages and disadvantages of the Delta-Normal method compared to the Historical and Monte Carlo method of computing Value-at-Risk are discussed. The Delta-Normal method of computing Value-at-Risk is compared with the Historical Simulation method of Value-at-Risk using an implementation of portfolio consisting of ten stocks for 400 time intervals.

    Based on the normality of the distribution of the portfolio risk factors, Delta-Normal would be suitable if the distribution is normal and Historical Simulation method of calculating Value-at-Risk would be ideally suited if the distribution is non-normal.

    Files
  • Rajesh_Thesis.pdf

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