Dynamic Strategy of Portfolio Value-at-Risk Estimation

$25.00

The purpose of this study is to describe dynamic strategy using Value-at-Risk calculations and to estimate the advantages and disadvantages of using Value-at-Risk in portfolio management.

Author: Andrey Rogachev, Ph.D., Bank Wegelin & Co.

Value-at-Risk is a highly accepted risk measurement tool by the finance industry. The main objective of portfolio management is optimization of asset allocation according to expected returns and risk. Portfolio Value-at-Risk is a widely used universal risk measure which helps to manage market risk. Every portfolio can be classified by positions based on a certain number of risk factors. As we can estimate Value-at-Risk for single financial instruments, we can integrate all possible losses to express Portfolio Value-at-Risk. The purpose of this study is to describe dynamic strategy using Value-at-Risk calculations and to estimate the advantages and disadvantages of using Value-at-Risk in portfolio management.

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