Hands-On Value-at-Risk and Expected Shortfall by Martin Auer

Author:Martin Auer
Language: eng
Format: epub
Publisher: Springer International Publishing, Cham

Risk factor

Sensitivity

VaR-sensitivity

VaR-contribution

FX-EUR

−12,228

176.45

−2,157,701

FX-RUB

−661

152.43

−100,727

FX-GBP

537

−104.10

−55,889

FX-CNY

−119

182.50

−21,641

IR-EUR-Y30

21,668

−0.61

−13,119

On the position side, we should first be aware of this: Adding a position to a portfolio, while usually amplifying the VaR, can also dampen it, e.g., when adding a position that acts as a partial hedge to the remaining portfolio. In the extreme case of adding the portfolio − Ω, we can even reduce the VaR to zero.

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