Modelli per il Calcolo del Value at Risk
Modelli per il Calcolo del Value at Risk
Modelli per il Calcolo del Value at Risk
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Applicazione al portafoglio Barings<br />
Portafoglio:<br />
$ 7,7 mld lungo futures Nikkei stock index<br />
$ 16 mld corto futures JapGovBonds<br />
Vol<strong>at</strong><strong>il</strong>ità e correlazione mens<strong>il</strong>i<br />
σ Nm = 5,83%, σ Jm = 1,18%, ρ = – 0,114<br />
Slides AB <strong>Mo<strong>del</strong>li</strong> <strong>per</strong> <strong>il</strong> calcolo <strong>del</strong> <strong>Value</strong> <strong>at</strong> <strong>Risk</strong><br />
⇓<br />
<strong>Calcolo</strong> <strong>del</strong> VaR mens<strong>il</strong>e con mo<strong>del</strong>lo Asset Normal<br />
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