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Revista Ingenierías Universidad de Medellín
versão impressa ISSN 1692-3324versão On-line ISSN 2248-4094
Resumo
GRAJALES CORREA, Carlos Alexánder e PEREZ RAMIREZ, Fredy Ocaris. Value at risk for a financial portfolio with options. Rev. ing. univ. Medellín [online]. 2010, vol.9, n.17, pp.105-118. ISSN 1692-3324.
This article presents and applies different mathematical, exact and approximated formulations to estimate value at risk of some portfolios with financial assets, emphasizing on those which contain financial options. The use and appropriateness of such formulations is analyzed base don characteristics and hypothesis of constructed portfolios. With this purpose, volatility and distribution percentile of changes in the value of the portfolio are analyzed. Stochastic volatity at a given time is also analyzed. With this purpose, variances, and co-variance methods. Historic simulation and Monte Carlo simulation from a formal and extended perspective to portfolios containing financial options are taken into consideration, establishing alternative of calculation and comparison between the results.
Palavras-chave : VaR; EWMA; Brownian movement; financial options.