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AP Lecture 6-What Is Risk
AP Lecture 6-What Is Risk
What is Risk?
ASSET PRICING
8.0%
7.0%
6.0%
5.0%
4.0%
3.0%
2.0%
1.0%
0.0%
0 2 -J a n -9 0
0 9 -S e p -9 0
1 7 -M a y -9 1
2 2 -J a n -9 2
2 8 -S e p -9 2
0 5 -J u n -9 3
1 0 -F e b -9 4
1 8 -O c t-9 4
2 5 -J u n -9 5
0 1 -M a r-9 6
0 6 -N o v -9 6
1 4 - J u l- 9 7
2 1 -M a r-9 8
2 6 -N o v -9 8
0 3 -A u g -9 9
-1.0%
-2.0%
-3.0%
-4.0%
-5.0%
-6.0%
-7.0%
-8.0%
-9.0%
-11.0%
What is VaR?
VaR estimates the capital loss on a portfolio over a
given period (e.g.1 day) that will be exceeded with a
given percentage (e.g. 1%).
250
200
F
r
e 150 (1-p)=99%
q p=1%
u
e 100
n
c
y 50
0
-0.0546
-0.0506
-0.0466
-0.0426
-0.0386
-0.0346
-0.0306
-0.0266
-0.0226
-0.0186
-0.0146
-0.0106
-0.0066
-0.0026
0.0014
0.0054
0.0094
0.0134
0.0174
0.0214
0.0254
0.0294
0.0334
0.0374
0.0414
0.0454More
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