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  • Co VaR

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    Sahrish Azmat
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    This document provides calculations for unconditional and conditional value-at-risk (VaR). The unconditional VaR shows potential losses at different confidence levels, while the conditional VaR uses the unconditional VaR outputs as inputs to calculate additional potential loss values if risks materialize. VaR estimates the maximum amount that could be lost with a given probability over a specific time horizon.

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    This document provides calculations for unconditional and conditional value-at-risk (VaR). The unconditional VaR shows potential losses at different confidence levels, while the conditional VaR uses the unconditional VaR outputs as inputs to calculate additional potential loss values if risks materialize. VaR estimates the maximum amount that could be lost with a given probability over a specific time horizon.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    9 views2 pages

    Co VaR

    Uploaded by

    Sahrish Azmat
    This document provides calculations for unconditional and conditional value-at-risk (VaR). The unconditional VaR shows potential losses at different confidence levels, while the conditional VaR uses the unconditional VaR outputs as inputs to calculate additional potential loss values if risks materialize. VaR estimates the maximum amount that could be lost with a given probability over a specific time horizon.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 2

    Calcultion of Conditional VaR

    VaR%
    VaR
    10%
    (100)
    30%
    (20)
    40%
    20%
    50

    For Conditional VaR


    5%
    -100
    10%
    -100
    15% -73.3333
    20%
    -60
    25%
    -52
    30% -46.6667
    35% -42.8571
    40%
    -40
    45% -35.5556
    50%
    -32
    55% -29.0909
    60% -26.6667
    65% -24.6154
    70% -22.8571
    75% -21.3333
    80%
    -20
    85% -15.8824
    90% -12.2222
    95% -8.94737
    100%
    -6

    While calulating Conditional VaR, the outputs of VaR ar


    loose if the things go wron

    ditional VaR, the outputs of VaR are used as inputs. VaR tells us the maximum value we can
    loose if the things go wrong. However in extrem cases,

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