SlideShare a Scribd company logo

Market Risk Modelling

•Download as PPT, PDF•
•
av vedpuriswar
av vedpuriswar

Basics of Market risk modelling

BusinessEconomy & Finance
1 of 69
Market Risk Modelling By A.V. Vedpuriswar July 31, 2009
Volatility
Basics of volatility ,[object Object],[object Object],[object Object],[object Object]
Estimating Volatility ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Estimating Volatility ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Problem ,[object Object]
Solution ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Greeks
Introduction ,[object Object],[object Object],[object Object]
Delta ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Gamma ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Theta ,[object Object],[object Object],[object Object],[object Object]
Vega ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Rho ,[object Object]
Problem ,[object Object]
Solution ,[object Object],[object Object]
Problem ,[object Object]
Solution ,[object Object],[object Object]
[object Object],Problem
[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Value at Risk
Introduction ,[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],Illustration
[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Problem ,[object Object]
Solution ,[object Object],[object Object],[object Object],[object Object],[object Object]
Problem ,[object Object]
Solution Weekly VAR ＝ (12,500) (√5) ＝ 27,951 Monthly VAR ＝ ( 12,500) (√20) ＝ 55,902 Semi annual VAR ＝ (12,500) (√125) ＝ 139,754 Annual VAR ＝ (12,500) (√250) ＝ 197,642
Variance Covariance Method
Problem ,[object Object]
Solution ,[object Object],[object Object],[object Object],[object Object],Ref : Options, futures and other derivatives, By John Hull
Problem ,[object Object]
Solution ,[object Object],[object Object],[object Object]
Problem ,[object Object]
Solution ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Monte Carlo Simulation
What is Monte Carlo VAR? ,[object Object],[object Object],[object Object]
Step 1: Generate Scenarios ,[object Object],[object Object],[object Object],[object Object],[object Object]
Opportunity Cost of Capital ,[object Object],[object Object]
Stochastic Element ,[object Object],[object Object],[object Object],[object Object]
Probability Distribution ,[object Object],[object Object],[object Object],[object Object]
Step 2: Calculate the Value of the Portfolio ,[object Object],[object Object],[object Object],[object Object]
Other approximations ,[object Object],[object Object],[object Object],[object Object],[object Object]
Step 3: Reorder the Results ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Formula used typically in Monte Carlo for stock price modelling
Advantages of Monte Carlo ,[object Object],[object Object],[object Object],[object Object],[object Object]
Problems with Monte Carlo ,[object Object],[object Object],[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object],[object Object],[object Object]
Historical Simulation
Introduction ,[object Object],[object Object],[object Object]
Few assumptions ,[object Object],[object Object],[object Object],[object Object],[object Object]
Steps ,[object Object],[object Object],[object Object],[object Object]
Problem What is VAR (90%) ? % Returns Frequency Cumulative Frequency - 16 1 1 - 14 1 2 - 10 1 3 - 7 2 5 - 5 1 6 - 4 3 9 - 3 1 10 - 1 2 12 0 3 15 1 1 16 2 2 18 4 1 19 6 1 20 7 1 21 8 1 22 9 1 23 11 1 24 12 1 26 14 2 27 18 1 28 21 1 29 23 1 30
[object Object],[object Object],[object Object],Solution
Advantages ,[object Object],[object Object],[object Object]
Disadvantages ,[object Object],[object Object],[object Object],[object Object]
Comparison of different VAR modeling techniques
Simulation vs Variance Covariance ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Model Validation
Basel Committee Standards ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object],[object Object],[object Object]
Stress Testing
Introduction ,[object Object],[object Object],[object Object],[object Object]
Two approaches to Stress testing ,[object Object],[object Object]
Conducting Stress Tests ,[object Object],[object Object],[object Object],[object Object],[object Object]
Extreme Value Theory ,[object Object],[object Object],[object Object]
EVT Parameters ,[object Object],[object Object],[object Object],[object Object]

Recommended

Value at Risk (VaR), Intro
Value at Risk (VaR), IntroValue at Risk (VaR), Intro
Value at Risk (VaR), Introdavidharper
 
Value_At_Risk_An_Introduction.pptx.pdf
Value_At_Risk_An_Introduction.pptx.pdfValue_At_Risk_An_Introduction.pptx.pdf
Value_At_Risk_An_Introduction.pptx.pdfSrikarRenikindhi
 
The value at risk
The value at risk The value at risk
The value at risk Jibin Lin
 
Liquidity Risk Measurement
Liquidity Risk MeasurementLiquidity Risk Measurement
Liquidity Risk MeasurementRaja Abdarrahman
 
Value at Risk
Value at RiskValue at Risk
Value at RiskErdem Tokmakoglu
 
Understanding credit risk : mint2save
Understanding credit risk : mint2saveUnderstanding credit risk : mint2save
Understanding credit risk : mint2saveMint2Save
 
Market Risk
Market RiskMarket Risk
Market RiskSAS Institute India Pvt. Ltd
 
Basel norms I II III & Risk Management in Banks
Basel norms I II III & Risk Management in BanksBasel norms I II III & Risk Management in Banks
Basel norms I II III & Risk Management in BanksAbhijeet Deshmukh
 

Recommended

Value at Risk (VaR), Intro
Value at Risk (VaR), IntroValue at Risk (VaR), Intro
Value at Risk (VaR), Introdavidharper
 
Value_At_Risk_An_Introduction.pptx.pdf
Value_At_Risk_An_Introduction.pptx.pdfValue_At_Risk_An_Introduction.pptx.pdf
Value_At_Risk_An_Introduction.pptx.pdfSrikarRenikindhi
 
The value at risk
The value at risk The value at risk
The value at risk Jibin Lin
 
Liquidity Risk Measurement
Liquidity Risk MeasurementLiquidity Risk Measurement
Liquidity Risk MeasurementRaja Abdarrahman
 
Value at Risk
Value at RiskValue at Risk
Value at RiskErdem Tokmakoglu
 
Understanding credit risk : mint2save
Understanding credit risk : mint2saveUnderstanding credit risk : mint2save
Understanding credit risk : mint2saveMint2Save
 
Market Risk
Market RiskMarket Risk
Market RiskSAS Institute India Pvt. Ltd
 
Basel norms I II III & Risk Management in Banks
Basel norms I II III & Risk Management in BanksBasel norms I II III & Risk Management in Banks
Basel norms I II III & Risk Management in BanksAbhijeet Deshmukh
 
Value At Risk Sep 22
Value At Risk Sep 22Value At Risk Sep 22
Value At Risk Sep 22av vedpuriswar
 
Asset Liability Management
Asset Liability ManagementAsset Liability Management
Asset Liability Managementshailesh kediya
 
Basel iii Norms
Basel iii NormsBasel iii Norms
Basel iii NormsAmzad Ali
 
Interest Rate Risk And Management
Interest Rate Risk And ManagementInterest Rate Risk And Management
Interest Rate Risk And Managementcatelong
 
Liquidity Risk
Liquidity RiskLiquidity Risk
Liquidity Risknikatmalik
 
Rma May22 Stress Testing In The Context Of Icaap
Rma May22 Stress Testing In The Context Of IcaapRma May22 Stress Testing In The Context Of Icaap
Rma May22 Stress Testing In The Context Of IcaapGuan Khoo
 
Basel-III Workshop-1.pptx
Basel-III Workshop-1.pptxBasel-III Workshop-1.pptx
Basel-III Workshop-1.pptxFaysalMahmud22
 
Counterparty credit risk. general review
Counterparty credit risk. general reviewCounterparty credit risk. general review
Counterparty credit risk. general reviewRoman Kornyliuk
 
Basel iii ppt.
Basel iii ppt.Basel iii ppt.
Basel iii ppt.ShivanshuSharma37
 
Counterparty Credit Risk and CVA under Basel III
Counterparty Credit Risk and CVA under Basel IIICounterparty Credit Risk and CVA under Basel III
Counterparty Credit Risk and CVA under Basel IIIHäner Consulting
 
Operational Risk Management under BASEL era
Operational Risk Management under BASEL eraOperational Risk Management under BASEL era
Operational Risk Management under BASEL eraTreat Risk
 
Introduction to economic capital
Introduction to economic capitalIntroduction to economic capital
Introduction to economic capitalMichel Rochette
 
Risk and Returns
Risk and ReturnsRisk and Returns
Risk and ReturnsMikee Bylss
 
Fundamentals of Market Risk Management by Dr. Emmanuel Moore ABOLO
Fundamentals of Market Risk Management by Dr. Emmanuel Moore ABOLOFundamentals of Market Risk Management by Dr. Emmanuel Moore ABOLO
Fundamentals of Market Risk Management by Dr. Emmanuel Moore ABOLODr. Emmanuel ABOLO, fica,fnimn,ficn,sirm
 
Value at Risk
Value at RiskValue at Risk
Value at RiskClarus Financial Technology
 
Basel III NSFR Liquidity Framework: Theoretical Implementation Requirements
Basel III NSFR Liquidity Framework: Theoretical Implementation RequirementsBasel III NSFR Liquidity Framework: Theoretical Implementation Requirements
Basel III NSFR Liquidity Framework: Theoretical Implementation RequirementsRodrigo Zepeda LLB, LLM, Chartered MCSI
 
Fundamental Review of the Trading Book (FRTB) – Data Challenges
Fundamental Review of the Trading Book (FRTB) – Data ChallengesFundamental Review of the Trading Book (FRTB) – Data Challenges
Fundamental Review of the Trading Book (FRTB) – Data Challengesaccenture
 
Asset Liability Management
Asset Liability ManagementAsset Liability Management
Asset Liability ManagementVikram Sankhala IIT, IIM, Ex IRS, FRM, Fin.Engr
 
ALM- an introduction
ALM- an introductionALM- an introduction
ALM- an introductionKumar Rakesh Chandra
 
Credit risk management lecture
Credit risk management lectureCredit risk management lecture
Credit risk management lectureAloke Saborna
 
Managing market risk
Managing market riskManaging market risk
Managing market riskdheva B
 
Measuring and Managing Market Risk
Measuring and Managing Market RiskMeasuring and Managing Market Risk
Measuring and Managing Market RiskDanial822
 

More Related Content

What's hot

Asset Liability Management
Asset Liability ManagementAsset Liability Management
Asset Liability Managementshailesh kediya
 
Basel iii Norms
Basel iii NormsBasel iii Norms
Basel iii NormsAmzad Ali
 
Interest Rate Risk And Management
Interest Rate Risk And ManagementInterest Rate Risk And Management
Interest Rate Risk And Managementcatelong
 
Liquidity Risk
Liquidity RiskLiquidity Risk
Liquidity Risknikatmalik
 
Rma May22 Stress Testing In The Context Of Icaap
Rma May22 Stress Testing In The Context Of IcaapRma May22 Stress Testing In The Context Of Icaap
Rma May22 Stress Testing In The Context Of IcaapGuan Khoo
 
Basel-III Workshop-1.pptx
Basel-III Workshop-1.pptxBasel-III Workshop-1.pptx
Basel-III Workshop-1.pptxFaysalMahmud22
 
Counterparty credit risk. general review
Counterparty credit risk. general reviewCounterparty credit risk. general review
Counterparty credit risk. general reviewRoman Kornyliuk
 
Counterparty Credit Risk and CVA under Basel III
Counterparty Credit Risk and CVA under Basel IIICounterparty Credit Risk and CVA under Basel III
Counterparty Credit Risk and CVA under Basel IIIHäner Consulting
 
Operational Risk Management under BASEL era
Operational Risk Management under BASEL eraOperational Risk Management under BASEL era
Operational Risk Management under BASEL eraTreat Risk
 
Introduction to economic capital
Introduction to economic capitalIntroduction to economic capital
Introduction to economic capitalMichel Rochette
 
Risk and Returns
Risk and ReturnsRisk and Returns
Risk and ReturnsMikee Bylss
 
Basel III NSFR Liquidity Framework: Theoretical Implementation Requirements
Basel III NSFR Liquidity Framework: Theoretical Implementation RequirementsBasel III NSFR Liquidity Framework: Theoretical Implementation Requirements
Basel III NSFR Liquidity Framework: Theoretical Implementation RequirementsRodrigo Zepeda LLB, LLM, Chartered MCSI
 
Fundamental Review of the Trading Book (FRTB) – Data Challenges
Fundamental Review of the Trading Book (FRTB) – Data ChallengesFundamental Review of the Trading Book (FRTB) – Data Challenges
Fundamental Review of the Trading Book (FRTB) – Data Challengesaccenture
 
Credit risk management lecture
Credit risk management lectureCredit risk management lecture
Credit risk management lectureAloke Saborna
 

What's hot (20)

Value At Risk Sep 22
Value At Risk Sep 22Value At Risk Sep 22
Value At Risk Sep 22
 
Asset Liability Management
Asset Liability ManagementAsset Liability Management
Asset Liability Management
 
Basel iii Norms
Basel iii NormsBasel iii Norms
Basel iii Norms
 
Interest Rate Risk And Management
Interest Rate Risk And ManagementInterest Rate Risk And Management
Interest Rate Risk And Management
 
Liquidity Risk
Liquidity RiskLiquidity Risk
Liquidity Risk
 
Rma May22 Stress Testing In The Context Of Icaap
Rma May22 Stress Testing In The Context Of IcaapRma May22 Stress Testing In The Context Of Icaap
Rma May22 Stress Testing In The Context Of Icaap
 
Basel-III Workshop-1.pptx
Basel-III Workshop-1.pptxBasel-III Workshop-1.pptx
Basel-III Workshop-1.pptx
 
Counterparty credit risk. general review
Counterparty credit risk. general reviewCounterparty credit risk. general review
Counterparty credit risk. general review
 
Basel iii ppt.
Basel iii ppt.Basel iii ppt.
Basel iii ppt.
 
Counterparty Credit Risk and CVA under Basel III
Counterparty Credit Risk and CVA under Basel IIICounterparty Credit Risk and CVA under Basel III
Counterparty Credit Risk and CVA under Basel III
 
Operational Risk Management under BASEL era
Operational Risk Management under BASEL eraOperational Risk Management under BASEL era
Operational Risk Management under BASEL era
 
Introduction to economic capital
Introduction to economic capitalIntroduction to economic capital
Introduction to economic capital
 
Risk and Returns
Risk and ReturnsRisk and Returns
Risk and Returns
 
Fundamentals of Market Risk Management by Dr. Emmanuel Moore ABOLO
Fundamentals of Market Risk Management by Dr. Emmanuel Moore ABOLOFundamentals of Market Risk Management by Dr. Emmanuel Moore ABOLO
Fundamentals of Market Risk Management by Dr. Emmanuel Moore ABOLO
 
Value at Risk
Value at RiskValue at Risk
Value at Risk
 
Basel III NSFR Liquidity Framework: Theoretical Implementation Requirements
Basel III NSFR Liquidity Framework: Theoretical Implementation RequirementsBasel III NSFR Liquidity Framework: Theoretical Implementation Requirements
Basel III NSFR Liquidity Framework: Theoretical Implementation Requirements
 
Fundamental Review of the Trading Book (FRTB) – Data Challenges
Fundamental Review of the Trading Book (FRTB) – Data ChallengesFundamental Review of the Trading Book (FRTB) – Data Challenges
Fundamental Review of the Trading Book (FRTB) – Data Challenges
 
Asset Liability Management
Asset Liability ManagementAsset Liability Management
Asset Liability Management
 
ALM- an introduction
ALM- an introductionALM- an introduction
ALM- an introduction
 
Credit risk management lecture
Credit risk management lectureCredit risk management lecture
Credit risk management lecture
 

Viewers also liked

Managing market risk
Managing market riskManaging market risk
Managing market riskdheva B
 
Measuring and Managing Market Risk
Measuring and Managing Market RiskMeasuring and Managing Market Risk
Measuring and Managing Market RiskDanial822
 
Challenges in Market Risk Management
Challenges in Market Risk ManagementChallenges in Market Risk Management
Challenges in Market Risk ManagementCRISIL Limited
 
Chapter 13 basel iv market risk framework
Chapter 13 basel iv market risk frameworkChapter 13 basel iv market risk framework
Chapter 13 basel iv market risk frameworkQuan Risk
 
Three Ways to Minimize Market Risk
Three Ways to Minimize Market RiskThree Ways to Minimize Market Risk
Three Ways to Minimize Market RiskEndeavor Management
 
Boston DDD: Risk Management Trends in the 2nd Act of Market Recovery
Boston DDD: Risk Management Trends in the 2nd Act of Market RecoveryBoston DDD: Risk Management Trends in the 2nd Act of Market Recovery
Boston DDD: Risk Management Trends in the 2nd Act of Market RecoveryEDR
 
Data Management for Market Risk - PRMIA webinar presentation
Data Management for Market Risk - PRMIA webinar presentationData Management for Market Risk - PRMIA webinar presentation
Data Management for Market Risk - PRMIA webinar presentationBrian Sentance
 
Market Risk System Bnp Paribas
Market Risk System Bnp ParibasMarket Risk System Bnp Paribas
Market Risk System Bnp ParibasQConLondon2008
 
Coupling of Market Risk,Credit Risk, and Liquidity Risk
Coupling of Market Risk,Credit Risk, and Liquidity RiskCoupling of Market Risk,Credit Risk, and Liquidity Risk
Coupling of Market Risk,Credit Risk, and Liquidity RiskGateway Partners
 
ETRM Reporting and Market Risk
ETRM Reporting and Market RiskETRM Reporting and Market Risk
ETRM Reporting and Market RiskWongyu Choe
 
Trm market risk-alm.ppt by oliver germany
Trm market risk-alm.ppt by oliver germanyTrm market risk-alm.ppt by oliver germany
Trm market risk-alm.ppt by oliver germanyEmmanuel Okereke
 
Risk Model Methodologies
Risk Model MethodologiesRisk Model Methodologies
Risk Model Methodologiesyamanote
 
Spark One Platform Webinar
Spark One Platform WebinarSpark One Platform Webinar
Spark One Platform WebinarCloudera, Inc.
 
Regulatory reporting of market risk under the basel iv framework
Regulatory reporting of market risk under the basel iv frameworkRegulatory reporting of market risk under the basel iv framework
Regulatory reporting of market risk under the basel iv frameworkQuan Risk
 
Introduction to Social Network Analysis
Introduction to Social Network AnalysisIntroduction to Social Network Analysis
Introduction to Social Network AnalysisPatti Anklam
 
Financial risk management
Financial risk managementFinancial risk management
Financial risk managementNam Ngo
 

Viewers also liked (20)

Managing market risk
Managing market riskManaging market risk
Managing market risk
 
Measuring and Managing Market Risk
Measuring and Managing Market RiskMeasuring and Managing Market Risk
Measuring and Managing Market Risk
 
Market risk
Market riskMarket risk
Market risk
 
Challenges in Market Risk Management
Challenges in Market Risk ManagementChallenges in Market Risk Management
Challenges in Market Risk Management
 
Chapter 13 basel iv market risk framework
Chapter 13 basel iv market risk frameworkChapter 13 basel iv market risk framework
Chapter 13 basel iv market risk framework
 
Three Ways to Minimize Market Risk
Three Ways to Minimize Market RiskThree Ways to Minimize Market Risk
Three Ways to Minimize Market Risk
 
International market risk mngt
International market risk mngtInternational market risk mngt
International market risk mngt
 
Boston DDD: Risk Management Trends in the 2nd Act of Market Recovery
Boston DDD: Risk Management Trends in the 2nd Act of Market RecoveryBoston DDD: Risk Management Trends in the 2nd Act of Market Recovery
Boston DDD: Risk Management Trends in the 2nd Act of Market Recovery
 
Data Management for Market Risk - PRMIA webinar presentation
Data Management for Market Risk - PRMIA webinar presentationData Management for Market Risk - PRMIA webinar presentation
Data Management for Market Risk - PRMIA webinar presentation
 
Market Risk System Bnp Paribas
Market Risk System Bnp ParibasMarket Risk System Bnp Paribas
Market Risk System Bnp Paribas
 
Coupling of Market Risk,Credit Risk, and Liquidity Risk
Coupling of Market Risk,Credit Risk, and Liquidity RiskCoupling of Market Risk,Credit Risk, and Liquidity Risk
Coupling of Market Risk,Credit Risk, and Liquidity Risk
 
ETRM Reporting and Market Risk
ETRM Reporting and Market RiskETRM Reporting and Market Risk
ETRM Reporting and Market Risk
 
Trm market risk-alm.ppt by oliver germany
Trm market risk-alm.ppt by oliver germanyTrm market risk-alm.ppt by oliver germany
Trm market risk-alm.ppt by oliver germany
 
Risk Model Methodologies
Risk Model MethodologiesRisk Model Methodologies
Risk Model Methodologies
 
Spark One Platform Webinar
Spark One Platform WebinarSpark One Platform Webinar
Spark One Platform Webinar
 
Regulatory reporting of market risk under the basel iv framework
Regulatory reporting of market risk under the basel iv frameworkRegulatory reporting of market risk under the basel iv framework
Regulatory reporting of market risk under the basel iv framework
 
Introduction to Social Network Analysis
Introduction to Social Network AnalysisIntroduction to Social Network Analysis
Introduction to Social Network Analysis
 
CCP Initial Margin for Interest Rate Swaps
CCP Initial Margin for Interest Rate SwapsCCP Initial Margin for Interest Rate Swaps
CCP Initial Margin for Interest Rate Swaps
 
Project risk analysis
Project risk analysisProject risk analysis
Project risk analysis
 
Financial risk management
Financial risk managementFinancial risk management
Financial risk management
 

Similar to Market Risk Modelling

Uncertain volatillity Models
Uncertain volatillity ModelsUncertain volatillity Models
Uncertain volatillity ModelsLuigi Piva CQF
 
CAPM-3-Nt.ppt
CAPM-3-Nt.pptCAPM-3-Nt.ppt
CAPM-3-Nt.pptSafriR
 
Risk and return relationship shows in historically
Risk and return relationship shows in historicallyRisk and return relationship shows in historically
Risk and return relationship shows in historicallyssusera9d1141
 
Intro to Quant Trading Strategies (Lecture 10 of 10)
Intro to Quant Trading Strategies (Lecture 10 of 10)Intro to Quant Trading Strategies (Lecture 10 of 10)
Intro to Quant Trading Strategies (Lecture 10 of 10)Adrian Aley
 
Estimating Market Risk Measures: An Introduction and Overview
Estimating Market Risk Measures: An Introduction and OverviewEstimating Market Risk Measures: An Introduction and Overview
Estimating Market Risk Measures: An Introduction and OverviewNamrata Das, MBA, FRM
 
Dynamical smart liquidity on decentralized exchanges for lucrative market making
Dynamical smart liquidity on decentralized exchanges for lucrative market makingDynamical smart liquidity on decentralized exchanges for lucrative market making
Dynamical smart liquidity on decentralized exchanges for lucrative market makingStefan Duprey
 
2. Module II (1) FRM.pdf
2. Module II (1) FRM.pdf2. Module II (1) FRM.pdf
2. Module II (1) FRM.pdfItzGA
 
Strategic Fx Risk Management
Strategic Fx Risk ManagementStrategic Fx Risk Management
Strategic Fx Risk ManagementJan Vermeer
 
Risk & return cf presentaion
Risk & return cf presentaionRisk & return cf presentaion
Risk & return cf presentaionRizwan Ashraf
 
Intro to Quant Trading Strategies (Lecture 8 of 10)
Intro to Quant Trading Strategies (Lecture 8 of 10)Intro to Quant Trading Strategies (Lecture 8 of 10)
Intro to Quant Trading Strategies (Lecture 8 of 10)Adrian Aley
 
Derivatives pricing and Malliavin Calculus
Derivatives pricing and Malliavin CalculusDerivatives pricing and Malliavin Calculus
Derivatives pricing and Malliavin CalculusHugo Delatte
 
The Limits of Leverage
The Limits of LeverageThe Limits of Leverage
The Limits of Leverageguasoni
 
Portfolio management UNIT FIVE BBS 4th year by Dilli Baral
Portfolio management UNIT FIVE BBS 4th year by Dilli BaralPortfolio management UNIT FIVE BBS 4th year by Dilli Baral
Portfolio management UNIT FIVE BBS 4th year by Dilli BaralDilliBaral
 
PPT - Deep Hedging OF Derivatives Using Reinforcement Learning
PPT - Deep Hedging OF Derivatives Using Reinforcement LearningPPT - Deep Hedging OF Derivatives Using Reinforcement Learning
PPT - Deep Hedging OF Derivatives Using Reinforcement LearningJisang Yoon
 
Portfolio risk and retun project
Portfolio risk and retun projectPortfolio risk and retun project
Portfolio risk and retun projectRohit Sethi
 
Who Should Sell Stocks?
Who Should Sell Stocks?Who Should Sell Stocks?
Who Should Sell Stocks?guasoni
 

Similar to Market Risk Modelling (20)

Greeks And Volatility
Greeks And VolatilityGreeks And Volatility
Greeks And Volatility
 
Uncertain volatillity Models
Uncertain volatillity ModelsUncertain volatillity Models
Uncertain volatillity Models
 
static_hedge
static_hedgestatic_hedge
static_hedge
 
CAPM-3-Nt.ppt
CAPM-3-Nt.pptCAPM-3-Nt.ppt
CAPM-3-Nt.ppt
 
Risk and return relationship shows in historically
Risk and return relationship shows in historicallyRisk and return relationship shows in historically
Risk and return relationship shows in historically
 
Var Problems
Var ProblemsVar Problems
Var Problems
 
Intro to Quant Trading Strategies (Lecture 10 of 10)
Intro to Quant Trading Strategies (Lecture 10 of 10)Intro to Quant Trading Strategies (Lecture 10 of 10)
Intro to Quant Trading Strategies (Lecture 10 of 10)
 
Estimating Market Risk Measures: An Introduction and Overview
Estimating Market Risk Measures: An Introduction and OverviewEstimating Market Risk Measures: An Introduction and Overview
Estimating Market Risk Measures: An Introduction and Overview
 
Dynamical smart liquidity on decentralized exchanges for lucrative market making
Dynamical smart liquidity on decentralized exchanges for lucrative market makingDynamical smart liquidity on decentralized exchanges for lucrative market making
Dynamical smart liquidity on decentralized exchanges for lucrative market making
 
2. Module II (1) FRM.pdf
2. Module II (1) FRM.pdf2. Module II (1) FRM.pdf
2. Module II (1) FRM.pdf
 
Strategic Fx Risk Management
Strategic Fx Risk ManagementStrategic Fx Risk Management
Strategic Fx Risk Management
 
Risk & return cf presentaion
Risk & return cf presentaionRisk & return cf presentaion
Risk & return cf presentaion
 
Intro to Quant Trading Strategies (Lecture 8 of 10)
Intro to Quant Trading Strategies (Lecture 8 of 10)Intro to Quant Trading Strategies (Lecture 8 of 10)
Intro to Quant Trading Strategies (Lecture 8 of 10)
 
Derivatives pricing and Malliavin Calculus
Derivatives pricing and Malliavin CalculusDerivatives pricing and Malliavin Calculus
Derivatives pricing and Malliavin Calculus
 
The Limits of Leverage
The Limits of LeverageThe Limits of Leverage
The Limits of Leverage
 
Chap 15
Chap 15Chap 15
Chap 15
 
Portfolio management UNIT FIVE BBS 4th year by Dilli Baral
Portfolio management UNIT FIVE BBS 4th year by Dilli BaralPortfolio management UNIT FIVE BBS 4th year by Dilli Baral
Portfolio management UNIT FIVE BBS 4th year by Dilli Baral
 
PPT - Deep Hedging OF Derivatives Using Reinforcement Learning
PPT - Deep Hedging OF Derivatives Using Reinforcement LearningPPT - Deep Hedging OF Derivatives Using Reinforcement Learning
PPT - Deep Hedging OF Derivatives Using Reinforcement Learning
 
Portfolio risk and retun project
Portfolio risk and retun projectPortfolio risk and retun project
Portfolio risk and retun project
 
Who Should Sell Stocks?
Who Should Sell Stocks?Who Should Sell Stocks?
Who Should Sell Stocks?
 

More from av vedpuriswar

Operational Risk Management Oct 4
Operational Risk Management Oct 4Operational Risk Management Oct 4
Operational Risk Management Oct 4av vedpuriswar
 
Credit Risk Modelling Primer
Credit Risk Modelling PrimerCredit Risk Modelling Primer
Credit Risk Modelling Primerav vedpuriswar
 
Credit Risk Management Problems
Credit Risk Management ProblemsCredit Risk Management Problems
Credit Risk Management Problemsav vedpuriswar
 
Credit Risk Management Primer
Credit Risk Management PrimerCredit Risk Management Primer
Credit Risk Management Primerav vedpuriswar
 
Credit Risk Management Primer
Credit Risk Management PrimerCredit Risk Management Primer
Credit Risk Management Primerav vedpuriswar
 

More from av vedpuriswar (7)

Liquidity Risk Oct 4
Liquidity Risk Oct 4Liquidity Risk Oct 4
Liquidity Risk Oct 4
 
Operational Risk Management Oct 4
Operational Risk Management Oct 4Operational Risk Management Oct 4
Operational Risk Management Oct 4
 
Credit Derivatives
Credit DerivativesCredit Derivatives
Credit Derivatives
 
Credit Risk Modelling Primer
Credit Risk Modelling PrimerCredit Risk Modelling Primer
Credit Risk Modelling Primer
 
Credit Risk Management Problems
Credit Risk Management ProblemsCredit Risk Management Problems
Credit Risk Management Problems
 
Credit Risk Management Primer
Credit Risk Management PrimerCredit Risk Management Primer
Credit Risk Management Primer
 
Credit Risk Management Primer
Credit Risk Management PrimerCredit Risk Management Primer
Credit Risk Management Primer
 

Recently uploaded

Russian Faridabad Call Girls(Badarpur) : ☎ 8168257667, @4999
Russian Faridabad Call Girls(Badarpur) : ☎ 8168257667, @4999Russian Faridabad Call Girls(Badarpur) : ☎ 8168257667, @4999
Russian Faridabad Call Girls(Badarpur) : ☎ 8168257667, @4999Tina Ji
 
Regression analysis: Simple Linear Regression Multiple Linear Regression
Regression analysis: Simple Linear Regression Multiple Linear RegressionRegression analysis: Simple Linear Regression Multiple Linear Regression
Regression analysis: Simple Linear Regression Multiple Linear RegressionRavindra Nath Shukla
 
Call Girls In Connaught Place Delhi ❤️88604**77959_Russian 100% Genuine Escor...
Call Girls In Connaught Place Delhi ❤️88604**77959_Russian 100% Genuine Escor...Call Girls In Connaught Place Delhi ❤️88604**77959_Russian 100% Genuine Escor...
Call Girls In Connaught Place Delhi ❤️88604**77959_Russian 100% Genuine Escor...lizamodels9
 
Vip Female Escorts Noida 9711199171 Greater Noida Escorts Service
Vip Female Escorts Noida 9711199171 Greater Noida Escorts ServiceVip Female Escorts Noida 9711199171 Greater Noida Escorts Service
Vip Female Escorts Noida 9711199171 Greater Noida Escorts Serviceankitnayak356677
 
0183760ssssssssssssssssssssssssssss00101011 (27).pdf
0183760ssssssssssssssssssssssssssss00101011 (27).pdf0183760ssssssssssssssssssssssssssss00101011 (27).pdf
0183760ssssssssssssssssssssssssssss00101011 (27).pdfRenandantas16
 
Call Girls In Sikandarpur Gurgaon ❤️8860477959_Russian 100% Genuine Escorts I...
Call Girls In Sikandarpur Gurgaon ❤️8860477959_Russian 100% Genuine Escorts I...Call Girls In Sikandarpur Gurgaon ❤️8860477959_Russian 100% Genuine Escorts I...
Call Girls In Sikandarpur Gurgaon ❤️8860477959_Russian 100% Genuine Escorts I...lizamodels9
 
Pharma Works Profile of Karan Communications
Pharma Works Profile of Karan CommunicationsPharma Works Profile of Karan Communications
Pharma Works Profile of Karan Communicationskarancommunications
 
VIP Call Girl Jamshedpur Aashi 8250192130 Independent Escort Service Jamshedpur
VIP Call Girl Jamshedpur Aashi 8250192130 Independent Escort Service JamshedpurVIP Call Girl Jamshedpur Aashi 8250192130 Independent Escort Service Jamshedpur
VIP Call Girl Jamshedpur Aashi 8250192130 Independent Escort Service JamshedpurSuhani Kapoor
 
M.C Lodges -- Guest House in Jhang.
M.C Lodges -- Guest House in Jhang.M.C Lodges -- Guest House in Jhang.
M.C Lodges -- Guest House in Jhang.Aaiza Hassan
 
Lucknow 💋 Escorts in Lucknow - 450+ Call Girl Cash Payment 8923113531 Neha Th...
Lucknow 💋 Escorts in Lucknow - 450+ Call Girl Cash Payment 8923113531 Neha Th...Lucknow 💋 Escorts in Lucknow - 450+ Call Girl Cash Payment 8923113531 Neha Th...
Lucknow 💋 Escorts in Lucknow - 450+ Call Girl Cash Payment 8923113531 Neha Th...anilsa9823
 
VIP Kolkata Call Girl Howrah 👉 8250192130 Available With Room
VIP Kolkata Call Girl Howrah 👉 8250192130 Available With RoomVIP Kolkata Call Girl Howrah 👉 8250192130 Available With Room
VIP Kolkata Call Girl Howrah 👉 8250192130 Available With Roomdivyansh0kumar0
 
Grateful 7 speech thanking everyone that has helped.pdf
Grateful 7 speech thanking everyone that has helped.pdfGrateful 7 speech thanking everyone that has helped.pdf
Grateful 7 speech thanking everyone that has helped.pdfPaul Menig
 
Call Girls In Radisson Blu Hotel New Delhi Paschim Vihar ❤️8860477959 Escorts...
Call Girls In Radisson Blu Hotel New Delhi Paschim Vihar ❤️8860477959 Escorts...Call Girls In Radisson Blu Hotel New Delhi Paschim Vihar ❤️8860477959 Escorts...
Call Girls In Radisson Blu Hotel New Delhi Paschim Vihar ❤️8860477959 Escorts...lizamodels9
 
A DAY IN THE LIFE OF A SALESMAN / WOMAN
A DAY IN THE LIFE OF A SALESMAN / WOMANA DAY IN THE LIFE OF A SALESMAN / WOMAN
A DAY IN THE LIFE OF A SALESMAN / WOMANIlamathiKannappan
 
BEST Call Girls In Greater Noida ✨ 9773824855 ✨ Escorts Service In Delhi Ncr,
BEST Call Girls In Greater Noida ✨ 9773824855 ✨ Escorts Service In Delhi Ncr,BEST Call Girls In Greater Noida ✨ 9773824855 ✨ Escorts Service In Delhi Ncr,
BEST Call Girls In Greater Noida ✨ 9773824855 ✨ Escorts Service In Delhi Ncr,noida100girls
 
Cash Payment 9602870969 Escort Service in Udaipur Call Girls
Cash Payment 9602870969 Escort Service in Udaipur Call GirlsCash Payment 9602870969 Escort Service in Udaipur Call Girls
Cash Payment 9602870969 Escort Service in Udaipur Call GirlsApsara Of India
 
Call Girls Pune Just Call 9907093804 Top Class Call Girl Service Available
Call Girls Pune Just Call 9907093804 Top Class Call Girl Service AvailableCall Girls Pune Just Call 9907093804 Top Class Call Girl Service Available
Call Girls Pune Just Call 9907093804 Top Class Call Girl Service AvailableDipal Arora
 

Recently uploaded (20)

Russian Faridabad Call Girls(Badarpur) : ☎ 8168257667, @4999
Russian Faridabad Call Girls(Badarpur) : ☎ 8168257667, @4999Russian Faridabad Call Girls(Badarpur) : ☎ 8168257667, @4999
Russian Faridabad Call Girls(Badarpur) : ☎ 8168257667, @4999
 
Regression analysis: Simple Linear Regression Multiple Linear Regression
Regression analysis: Simple Linear Regression Multiple Linear RegressionRegression analysis: Simple Linear Regression Multiple Linear Regression
Regression analysis: Simple Linear Regression Multiple Linear Regression
 
Call Girls In Connaught Place Delhi ❤️88604**77959_Russian 100% Genuine Escor...
Call Girls In Connaught Place Delhi ❤️88604**77959_Russian 100% Genuine Escor...Call Girls In Connaught Place Delhi ❤️88604**77959_Russian 100% Genuine Escor...
Call Girls In Connaught Place Delhi ❤️88604**77959_Russian 100% Genuine Escor...
 
Vip Female Escorts Noida 9711199171 Greater Noida Escorts Service
Vip Female Escorts Noida 9711199171 Greater Noida Escorts ServiceVip Female Escorts Noida 9711199171 Greater Noida Escorts Service
Vip Female Escorts Noida 9711199171 Greater Noida Escorts Service
 
0183760ssssssssssssssssssssssssssss00101011 (27).pdf
0183760ssssssssssssssssssssssssssss00101011 (27).pdf0183760ssssssssssssssssssssssssssss00101011 (27).pdf
0183760ssssssssssssssssssssssssssss00101011 (27).pdf
 
Forklift Operations: Safety through Cartoons
Forklift Operations: Safety through CartoonsForklift Operations: Safety through Cartoons
Forklift Operations: Safety through Cartoons
 
Call Girls In Sikandarpur Gurgaon ❤️8860477959_Russian 100% Genuine Escorts I...
Call Girls In Sikandarpur Gurgaon ❤️8860477959_Russian 100% Genuine Escorts I...Call Girls In Sikandarpur Gurgaon ❤️8860477959_Russian 100% Genuine Escorts I...
Call Girls In Sikandarpur Gurgaon ❤️8860477959_Russian 100% Genuine Escorts I...
 
Pharma Works Profile of Karan Communications
Pharma Works Profile of Karan CommunicationsPharma Works Profile of Karan Communications
Pharma Works Profile of Karan Communications
 
VIP Call Girl Jamshedpur Aashi 8250192130 Independent Escort Service Jamshedpur
VIP Call Girl Jamshedpur Aashi 8250192130 Independent Escort Service JamshedpurVIP Call Girl Jamshedpur Aashi 8250192130 Independent Escort Service Jamshedpur
VIP Call Girl Jamshedpur Aashi 8250192130 Independent Escort Service Jamshedpur
 
M.C Lodges -- Guest House in Jhang.
M.C Lodges -- Guest House in Jhang.M.C Lodges -- Guest House in Jhang.
M.C Lodges -- Guest House in Jhang.
 
Lucknow 💋 Escorts in Lucknow - 450+ Call Girl Cash Payment 8923113531 Neha Th...
Lucknow 💋 Escorts in Lucknow - 450+ Call Girl Cash Payment 8923113531 Neha Th...Lucknow 💋 Escorts in Lucknow - 450+ Call Girl Cash Payment 8923113531 Neha Th...
Lucknow 💋 Escorts in Lucknow - 450+ Call Girl Cash Payment 8923113531 Neha Th...
 
VIP Kolkata Call Girl Howrah 👉 8250192130 Available With Room
VIP Kolkata Call Girl Howrah 👉 8250192130 Available With RoomVIP Kolkata Call Girl Howrah 👉 8250192130 Available With Room
VIP Kolkata Call Girl Howrah 👉 8250192130 Available With Room
 
Grateful 7 speech thanking everyone that has helped.pdf
Grateful 7 speech thanking everyone that has helped.pdfGrateful 7 speech thanking everyone that has helped.pdf
Grateful 7 speech thanking everyone that has helped.pdf
 
Best Practices for Implementing an External Recruiting Partnership
Best Practices for Implementing an External Recruiting PartnershipBest Practices for Implementing an External Recruiting Partnership
Best Practices for Implementing an External Recruiting Partnership
 
Call Girls In Radisson Blu Hotel New Delhi Paschim Vihar ❤️8860477959 Escorts...
Call Girls In Radisson Blu Hotel New Delhi Paschim Vihar ❤️8860477959 Escorts...Call Girls In Radisson Blu Hotel New Delhi Paschim Vihar ❤️8860477959 Escorts...
Call Girls In Radisson Blu Hotel New Delhi Paschim Vihar ❤️8860477959 Escorts...
 
A DAY IN THE LIFE OF A SALESMAN / WOMAN
A DAY IN THE LIFE OF A SALESMAN / WOMANA DAY IN THE LIFE OF A SALESMAN / WOMAN
A DAY IN THE LIFE OF A SALESMAN / WOMAN
 
BEST Call Girls In Greater Noida ✨ 9773824855 ✨ Escorts Service In Delhi Ncr,
BEST Call Girls In Greater Noida ✨ 9773824855 ✨ Escorts Service In Delhi Ncr,BEST Call Girls In Greater Noida ✨ 9773824855 ✨ Escorts Service In Delhi Ncr,
BEST Call Girls In Greater Noida ✨ 9773824855 ✨ Escorts Service In Delhi Ncr,
 
KestrelPro Flyer Japan IT Week 2024 (English)
KestrelPro Flyer Japan IT Week 2024 (English)KestrelPro Flyer Japan IT Week 2024 (English)
KestrelPro Flyer Japan IT Week 2024 (English)
 
Cash Payment 9602870969 Escort Service in Udaipur Call Girls
Cash Payment 9602870969 Escort Service in Udaipur Call GirlsCash Payment 9602870969 Escort Service in Udaipur Call Girls
Cash Payment 9602870969 Escort Service in Udaipur Call Girls
 
Call Girls Pune Just Call 9907093804 Top Class Call Girl Service Available
Call Girls Pune Just Call 9907093804 Top Class Call Girl Service AvailableCall Girls Pune Just Call 9907093804 Top Class Call Girl Service Available
Call Girls Pune Just Call 9907093804 Top Class Call Girl Service Available
 

Market Risk Modelling