Structuring an optimal portfolio from the Private Bank perspective and measuring the market risk using "Value-at-Risk" Methodology

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Wong, Max Yuen Kuan (2008) Structuring an optimal portfolio from the Private Bank perspective and measuring the market risk using "Value-at-Risk" Methodology. [Dissertation (University of Nottingham only)] (Unpublished)

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Abstract

ABSTRACT

An important tool to quantify the market risk of a portfolio is "Value-at-Risk"(VaR) methodology. Consequently, value at risk models will play an increasingly important role within the securities industry, and some securities regulators will increasingly rely on the outputs of these models for regulatory purposes. This will have significant implications for both the management of the firms and for the regulators of those firms.

The study done earlier was an attempt to determine the impact of associating VaR on the process of diversification to improve the return of investor's portfolio along the CML.

The second study is to examine whether VaR can be applied to replace the current practice employed by Citigroup Private Bank to determine the appropriate LV of the structured product.

Item Type: Dissertation (University of Nottingham only)
Keywords: VaR, Value at Risk, Beta, Alpha, LV, LNW, Diverfication, CAPM, Modern Portfolio, Optimal portfolio, Tail Conditional Expectation (TCE), Spectral Measure of Risk, Expected Shortfall, Stress test, Back testing, Correlation, Risk Free Rate, Confidence Level, Tatical Allocation, Strategic Allocation, CML
Depositing User: EP, Services
Date Deposited: 30 Jun 2008
Last Modified: 21 Mar 2022 16:04
URI: https://eprints.nottingham.ac.uk/id/eprint/21723

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