VAR for Mortgage Backed Securities

Topics:
Enterprise Risk Management
Tags:
Capital Market,
Capital Market Risk Advisors,
Finance,
Financial Services,
Investment,
Monte Carlo Simulation,
Mortgage-backed Security,
Retail
Source:
Capital Market Risk Advisors

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Overview: Value at Risk (VaR) is a mathematical approach for estimating the maximum potential loss of a given portfolio within some field of time with some likelihood of occurrence. Monte Carlo Simulation calculates the potential portfolio loss using market scenarios that were created from historic volatility and correlation estimates. As correlation among assets decreases, the risk of the portfolio also decreases.

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Format: PDF | Size: 953KB | Date: Jan 2003 | Pages: 56

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