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You are on page 1of 57

Hull 2010

Value at Risk

Chapter 20

1

Objective of VaR

VaR provides a single number that

summarizes the total risk in a portfolio of

financial assets

It is easy to understand

It asks the simple question: How bad can

things get?

More specifically:

What loss level is such that we are X%

confident it will not be exceeded in N business

days?

2

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

VaR and Regulatory Capital

Example of VaR in practice:

Regulators base the capital they require

banks to keep on VaR

The market-risk capital is k times the 10-day

99% VaR where k is at least 3.0

3

VaR

VaR is the loss corresponding to the

(100 x) percentile of the distribution of

the change in the value of a portfolio over

N days

If x = 99, VaR is the first percentile of the

distribution

If x = 97, VaR is the third percentile of the

distribution

4

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

N-Day VaR

Although the theoretical VaR is based on N

number of days, practitioners usually set N=1

and then find longer periods as follows:

N-day VaR = 1-day VaR x

N

5

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

Methods for Calculating VaR

Historical Simulation Approach

Model Building Approach

6

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

Historical Simulation

Use past data as a guide as to what might

happen in the future.

1. Identify the market variables (assets) that affect

the value of the portfolio

2. Create a database of the daily movements in all

market variables over n days

3. Define each days change in the variables as

scenarios:

1. Scenario 1 = Day 1 percent change in each variable

2. Scenario 2 = Day 2 percent change in each variable

3. Etc.

7

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

Historical Simulation

4. The first scenario trial assumes that the

percentage changes in all market variables are

as on the first day. The second scenario trial

assumes that the percentage changes in all

market variables are as on the second day,

and so on. The portfolios value tomorrow is

calculated for each scenario trial

5. For each scenario trial, calculate the dollar

change in portfolio value

6. Rank the outcomes from highest loss to lowest

loss.

8

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

Historical Simulation

7. The X percentile of the distribution is the worst

(n*X) observations

8. The X estimate of VaR at the (1-X)% confidence

level is the loss that occurs at the (n*X)

th

observation

9. Update the VaR estimate using a rolling window

of n observations. i.e. Drop Day 1 and add Day

n+1. Drop Day 2 and add Day n+2. Etc.

If the last n days is a good representation of what

might happen in the future, then the manager is (1

X)% certain that a loss greater than VaR will not

occur.

9

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

Historical Simulation continued

Suppose we use 501 days of historical data

Let v

i

be the value of a market variable on day i

There are 500 simulation trials

The ith trial assumes that the value of the

market variable tomorrow is

1

500

i

i

v

v

v

10

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

11

Sample Data

Day Market Market Market

Variable 1 Variable 2 .. . Variable n

0 20.33 0.1132 .. . 65.37

1 20.78 0.1159 .. . 64.91

2 21.44 0.1162 .. . 65.02

3 20.97 0.1184 .. . 64.90

.. .. .. .. . ..

.. .. .. .. . ..

498 25.72 0.1312 .. . 62.22

499 25.75 0.1323 .. . 61.99

500 25.85 0.1343 .. . 62.1

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

12

Results for Sample Data

Scenario Market Market Market Portfolio

Number Variable 1 Variable 2 .. .. Variable n Value ($mill)

1 26.42 0.1375 .. .. 61.66 23.71

2 26.67 0.1346 .. .. 62.21 23.12

3 25.28 0.1368 .. .. 61.99 22.94

.. .. .. .. .. .. ..

.. .. .. .. .. .. ..

499 25.88 0.1354 .. .. 61.87 23.63

500 25.95 0.1363 .. .. 62.21 22.87

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

The Model-Building Approach

The main alternative to historical simulation is to

make assumptions about the probability

distributions of return on the market variables

and calculate the probability distribution of the

change in the value of the portfolio analytically

This is known as the model building approach or

the variance-covariance approach

13

Daily Volatilities

Since we are working with variances, we

need to define the appropriate volatility

estimate.

In option pricing we express volatility as

volatility per year

In VaR calculations we express volatility

as volatility per day

o

o

day

year

=

252

14

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

Daily Volatility continued

Strictly speaking we should define o

day

as

the standard deviation of the continuously

compounded return in one day

In practice we assume that it is the

standard deviation of the percentage

change in one day

15

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

Microsoft Example

One Asset Case

We have a position worth $10 million in

Microsoft shares

The volatility of Microsoft is 2% per day

(about 32% per year)

The standard deviation of the change in

the portfolio in 1 day is $10 Mill x 2% =

$200,000

We use N = 10 and X = 99

16

Microsoft Example

Over a one-day period, the expected

change in the value of Microsoft is zero.

(This is OK for short time periods)

We assume that the change in the value of

the portfolio is normally distributed

Review normal distributions using the

Table on p. 590-591.

17

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

Microsoft Example

We want to compute a 10-day 99% VaR.

Use N = 10 and X = 99

We need 0.01 in the left tail and 0.99 in the rest

of the distribution. How many standard

deviations is this?

Table Entries

.00 .01 .02 .03 .04

-2.3 .0107 .0104 .0102 .0099 .0096

18

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

Microsoft Example continued

The 1-day 99% VaR for the $10 million

position is

The 10-day 99% VaR is

Were 99% sure that we wont lose over

$1,473,621 over the next 10 days

19

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

AT&T Example

Find 10-day 99% VaR

Consider a position of $5 million in AT&T

The daily volatility of AT&T is 1% (approx

16% per year)

The Std. Dev. for 1 day is

The S.D per 10 days is

The VaR is

20

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

Portfolio

Now consider a portfolio consisting of both

Microsoft and AT&T

Suppose that the correlation between the

returns is 0.3

21

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

S.D. of Portfolio

A standard result in statistics states that

Where o

X

= 200,000, o

Y

= 50,000, and =

0.3.

The standard deviation of the change in

the portfolio value in one day is:

Y

X Y X Y X

o o + o + o = o

+

2

2 2

22

VaR for Portfolio

The 10-day 99% VaR for the portfolio is

The individual VaRs were:

Microsoft $1,473,621

AT&T $ 368,405

So, the benefits of diversification are

(1,473,621+368,405)1,622,657=$219,369

657 , 622 , 1 $ 33 . 2 = 10 x x $220,227

23

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

Diversification Benefits

The diversification benefit is due to a

correlation coefficient less than +1. This is

the same result that you were introduced

to in your investments classes. As

securities are added to a portfolio, the risk

declines.

24

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

Generalizing The Linear Model

We assume

The daily change in the value of a portfolio

is linearly related to the daily returns from

market variables

The returns from the market variables are

normally distributed

25

Markowitz Result for Variance of

Return on Portfolio

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

s instrument th and

th of returns between n correlatio is

portfolio in

instrument th on return of variance is

portfolio in instrument th of weight is

Return Portfolio of Variance

ij

2

i

j

i

i

i w

w w

i

n

i

n

j

j i j i ij

o

o o =

= = 1 1

26

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

VaR Result for Variance of

Portfolio Value (o

i

= w

i

P)

day per value portfolio the in change the of SD the is

return) daily of SD (i.e., instrument th of volatility daily the is

P

i

n

i

j i j i

j i

ij i i P

n

i

n

j

j i j i ij P

n

i

i i

i

x P

o

o

o o o o + o o = o

o o o o = o

A o = A

= <

= =

=

1

2 2 2

1 1

2

1

2

27

Microsoft and AT&T Example

o

p

2

=

1

2

o

1

2

+

2

2

o

2

2

+ 2[

1,2

1

2

o

1

o

2

]

The 10-day 99% VaR is:

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

28

Diversification Benefits

The diversification benefit is due to a

correlation coefficient less than +1. This is

the same result that you were introduced

to in your investments classes. As

securities are added to a portfolio, the risk

declines.

29

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

Handling Interest Rates

Bond Portfolios

We do not want to define every bond as a

different market variable

We therefore choose as assets zero-coupon

bonds with standard maturities: 1-month, 3

months, 1 year, 2 years, 5 years, 7 years, 10

years, and 30 years

Cash flows from instruments in the portfolio are

mapped to bonds with the standard maturities

30

Cash Flow Mapping

Assume a portfolio containing two bonds:

Bond #1 Bond #2

1.2 Yr Maturity 0.8 Yr Maturity

Semi-annual pmts Semi-annual pmts

Cash Flows at: Cash Flows at:

0.2 Yrs (2.4 months) 0.3 Yrs (3.6 months)

0.7 Yrs (8.4 months) 0.8 Yrs (9.6 months)

1.2 Yrs (14.4 months)

31

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

Cash Flow Mapping

Bond 1 CFs 1 Month Bond 2 CFs

2.4 months 3 Months 3.6 months

8.4 months 6 Months 9.6 months

14.4 months 1 Year

2 Years

5 Years

7 Years

10 Years

30 Years

32

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

Cash Flow Mapping

The values assigned to each standard

category are based upon interpolations of

the actual interest and principal payments.

For a change in market interest rates, the

resulting change in bond values is

computed for the 9 categories shown.

Only 9 standard deviations are required

with cash flow mapping.

33

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

Cash Flow Mapping

Correlation Coefficients

1 Mo 3 Mo 6 Mo 1 Yr 2 Yr 5 Yr 7 Yr 10 Yr 30 Yr

1 Mo

1m,1m

1m,3m

1m,6m

1m,1y

1m,2y

1m,5y

1m,7y

1m,10y

1m,30y

3 Mo

3m,3m

3m,6m

3m,1y

3m,2y

3m,5y

3m,7y

3m,10y

3m,30y

6 Mo

6m,6m

6m,1y

6m,2y

6m,5y

6m,7y

6m,10y

6m,30y

1 Yr

1y,1y

1y,2y

1y,5y

1y,7y

1y,10y

1y,30y

2 Yr

2y,2y

2y,5y

2y,7y

2y,10y

2y,30y

5 Yr

5y,5y

5y,7y

5y,10y

5y,30y

7 Yr

7y,7y

7y,10y

7y,30y

10 Yr

10y,10y

10y,30y

30 Yr

30y,30y

34

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

When Linear Model Can be Used

Portfolio of stocks

Portfolio of bonds

Cash flow mapping

Forward contract on foreign currency

Value as bonds and use cash flow mapping

Interest-rate swap

Value as bonds and use cash flow mapping

35

The Linear Model is Only an

Approximation for Options

T d

T

T r K S

d

T

T r K S

d where

d N S d N e K p

d N e K d N S c

rT

rT

o

o

o

o

o

=

+

=

+ +

=

=

=

1

0

2

0

1

1 0 2

2 1 0

) 2 /

2

( ) / ln(

) 2 /

2

( ) / ln(

) ( ) (

) ( ) (

36

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

The Greek Letters

Delta is the rate of change of the option value

with respect to the price

Gamma is the rate of change of delta with

respect to the price of the underlying asset

Theta is the rate of change of the option value

with respect to the passage of time

Vega is the rate of change of the option value

with respect to volatility

Rho is the rate of change of the option value

with respect to the interest rate

37

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

38

Delta ()

Option value function is not linear.

Option

price

A

B

Slope = A

Stock price

The Linear Model and Options

To calculate the VaR of an option portfolio

using the linear model, we need the standard

deviation of the price changes. We obtain

the o by utilizing the delta that is defined in

Chapter 17

Consider a portfolio of options dependent on

a single stock price, S.

Define and

S

P

A

A

= o

S

S

x

A

= A

39

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

Linear Model and Options

continued (equations 20.3 and 20.4)

As an approximation

For a portfolio of many underlying market

variables

where o

i

is the delta of the portfolio with

respect to the ith asset

x S S P A o = A o = A

A o = A

i

i i i

x S P

40

Example

Consider an investment in options on Microsoft and

AT&T.

MSFT AT&T

S = $120 $30

= 1,000 20,000

o = 2% 1%

= 0.3

As an approximation

where Ax

1

and Ax

2

are the percentage changes in

the two stock prices

2 1

000 , 20 30 000 , 1 120 x x P A + A = A

41

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

Example

Using the equation for variance and substituting o

1

for

Ax

1

and o

2

for Ax

2

, the variance of the portfolio (in

thousands) is:

o

2

port

= 120

2

(.02)

2

+ 600

2

(.01)

2

+ 2(.3)(120)(600)(.02)(01)

o

2

port

= 50.4 and o

port

= 7.09929574

Find the 5-day 95% VaR of the portfolio.

Determine the number of standard deviations using

the normal distribution table. Value of 0.05 falls

between 1.64 and 1.65. Using 1.65 results in:

VaR = 1.65 x 7.09929574 x = $26.193 (000)

5

42

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

But the distribution of the daily

return on an option is not normal

(See Figure 20.4, page 444)

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

Positive Gamma

Negative Gamma

43

Skewness

For options, the linear model is an approximation.

It fails to capture the skewness in the probability

distribution of the portfolio value.

As chapter 17 points out, the delta is computed at

a single point. Gamma provides a measure of

curvature and thus, the degree of skewness.

The VaR is dependent on the left tail of the

probability distribution. When skewness occurs,

there is an error in the VaR estimate.

44

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

Skewness

When Gamma is positive, the left tail of

the distribution is less heavy than normal,

and the VaR estimate is too high.

When Gamma is negative, the left tail of

the distribution is more heavy than normal,

and the VaR estimate is too low.

How is the error corrected? By using a

quadratic equation (rather than linear)

45

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

Quadratic Model

to correct skewness error

For a portfolio dependent on a single

stock price

where is the gamma of the portfolio.

This becomes

2

) (

2

1

S S P A + A o = A

2 2

) (

2

1

x S x S P A + A o = A

46

Use of Quadratic Model

Analytic results are not as readily available

Monte Carlo simulation can be used in

conjunction with the quadratic model (This

avoids the need to revalue the portfolio for

each simulation trial)

The quadratic model is also sometimes

used in conjunction with historical

simulation

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

47

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

Estimating Volatility for Model

Building Approach (equation 20.6)

Define o

n

as the volatility per day on day n, as

estimated at end of day n-1

Define S

i

as the value of market variable at end of

day i

Define u

i

= ln(S

i

/S

i-1

)

The usual estimate of volatility from m observations

is:

=

=

=

= o

m

i

i n

m

i

i n n

u

m

u

u u

m

1

1

2 2

1

) (

1

1

48

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

Simplifications

(equations 20.7 and 20.8)

Define u

i

as (S

i

S

i-1

)/S

i-1

Assume that the mean value of u

i

is zero

Replace m1 by m

This gives

o

n n i

i

m

m

u

2 2

1

1

=

=

49

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

Weighting Scheme

Instead of assigning equal weights to the

observations we can set

o o

o

n i n i

i

m

i

i

m

u

2 2

1

1

1

=

=

=

=

where

50

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

EWMA Model (equation 20.10)

In an exponentially weighted moving

average model, the weights assigned to

the u

2

decline exponentially as we move

back through time

This leads to

2

1

2

1

2

) 1 (

+ o = o

n n n

u

51

Attractions of EWMA

Relatively little data needs to be stored

We need only remember the current

estimate of the variance rate and the most

recent observation on the market variable

Tracks volatility changes through time

The same method can be used to find

correlations between market variables

when computing VaR

52

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

Correlations

Define u

i

=(U

i

-U

i-1

)/U

i-1

and v

i

=(V

i

-V

i-1

)/V

i-1

Also

o

u,n

: daily vol of U calculated on day n-1

o

v,n

: daily vol of V calculated on day n-1

cov

n

: covariance calculated on day n-1

cov

n

=

n

o

u,n

o

v,n

where

n

is the correlation between U and V

53

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

Correlations continued

(equation 20.12)

Using the EWMA

cov

n

= cov

n-1

+(1-)u

n-1

v

n-1

RiskMetrics uses = 0.94 for daily

volatility forecasting

54

Comparison of Approaches

Advantages Disadvantages

Model

Building

Results produced

quickly

Accommodates

volatility estimating

approach like EWMA

Assumes multivariate

normal distributions

Gives poor results for

low delta portfolios

Historical

Simulation

Determines the joint

probability

distributions of the

variables

Avoids the need for

cash flow mapping

Computationally slow

Doesnt easily allow

volatility updating

schemes such as EWMA

55

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

Back-Testing

Tests how well VaR estimates would

have performed in the past

We could ask the question: How often

was the loss greater than the VaR

level

56

Fundamentals of Futures and Options Markets, 7th Ed, Ch 20, Copyright John C. Hull 2010

Stress Testing

This involves testing how well a

portfolio would perform under some

of the most extreme market moves

seen in the last 10 to 20 years

57

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