Measuring market risk VaR approachyoungyu教学介绍.pptVIP

Price volatility = (-MD) ? (Potential adverse change in yield) = (-6.527) ? (0.00165) = -1.077% DEAR = Market value of position ? (Price volatility) = ($1,000,000) ? (.01077) = $10,770 From DEAR to more-than-one-day VaR To calculate the potential loss for more than one day: N-day VAR = DEAR × ?N Example: For a five-day period, VAR = $10,770 × ?5 = $24,082 FX In the case of Foreign Exchange, DEAR is computed in the same fashion we employed for interest rate risk. DEAR= P × S × DR @95%CL DEAR=(Dollar value of position) ?(Price volatility) Suppose (1)the FI