Post-conference workshop 2, May 17, 2012
VAR: VALID ASSUMPTIONS REQUIRED
Brett Humphreys, Executive Director, Commodities Risk Management, MORGAN STANLEY
Ehud Ronn, Department of Finance, McCombs School of Business, UNIVERSITY OF TEXAS
9.00
- Risk bucketing
- Selection of time horizon and confidence interval
- Calculation of volatility
- Calculation of correlation
10.30 Coffee break
11.00 The standard VaR calculations
- Historical VaR
- Monte Carlo VaR
- Delta normal VaR
Back testing VaR calculations
12.30 Lunch
13.30
- Proper accounting for the asymmetry of long/short option positions: Delta-Gamma VaR
- Liquidity risk and "liquidation value at risk": stress-testing analytical VaR
15.00 Coffee break
15.30 Numerical examples:
- Computing Delta-Normal and Delta-Gamma VaR for a portfolio containing futures and options
- Computing liquidation VaR under crisis conditions
- Incorporating volumetric risk into VaR calculations
- "Real-time," "marginal" or "incremental" value at risk
17.00 End of seminar
