## Calculation of value at risk and risk/return simulation |

### What people are saying - Write a review

We haven't found any reviews in the usual places.

### Other editions - View all

### Common terms and phrases

amount of risk assess assumed assumption Bank of Japan business days calculate value-at-risk calculate volatility calculating value cash-flow Chart confidence level correlation between risk correlation matrix credit risk environmental changes estimate correlation estimate volatility evaluate financial instruments financial intermediaries firm's portfolio historical correlation historical data historical volatility holding period implied volatility Input file Institute for Monetary interest rate futures interest rate swaps length of observation level of 99 losses a portfolio manage risks market participants matrix method measuring market risk method to estimate missing data nine risk factors non-option instruments Notional amount observation intervals observation period obtain option-related instruments outlier Output file portfolio could experience portfolio value present values price changes recalculated relevant portfolio risk calculation risk exposures risk management risk/return simulation sensitivity simulation study subsamples swaptions type I error value at risk value of portfolio value-at-risk calculation volatility and correlation volatility of risk yen interest rates yield curve zero-coupon yield