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1、RiskMeasurement:AnIntroductiontoValueatRisk*ThomasJ.LinsmeierandNeilD.PearsonUniversityofIllinoisatUrbana-ChampaignJuly1996AbstractThispaperisaself-containedintroductiontotheconceptandmethodologyof“valueatrisk,”whichisanewtoolformeasuringanentity’sexposuretomark
2、etrisk.Weexplaintheconceptofvalueatrisk,andthendescribeindetailthethreemethodsforcomputingit:historicalsimulation;thevariance-covariancemethod;andMonteCarloorstochasticsimulation.Wethendiscusstheadvantagesanddisadvantagesofthethreemethodsforcomputingvalueatrisk.
3、Finally,webrieflydescribesomealternativemeasuresofmarketrisk.ÓThomasJ.LinsmeierandNeilD.Pearson*DepartmentofAccountancyandDepartmentofFinance,respectively.Linsmeiermaybereachedat2172446153(voice),2172440902(fax),andlinsmeie@uiuc.edu;Pearsonmaybereachedat21724404
4、90(voice),2172449867(fax),andpearson2@uiuc.edu.Wearesolelyresponsibleforanyerrors.ADIFFICULTQUESTIONYouareresponsibleformanagingyourcompany’sforeignexchangepositions.Yourboss,oryourboss’sboss,hasbeenreadingaboutderivativeslossessufferedbyothercompanies,andwantst
5、oknowifthesamethingcouldhappentohiscompany.Thatis,hewantstoknowjusthowmuchmarketriskthecompanyistaking.Whatdoyousay?Youcouldstartbylistinganddescribingthecompany’spositions,butthisisn’tlikelytobehelpfulunlessthereareonlyahandful.Eventhen,ithelpsonlyifyoursuperio
6、rsunderstandallofthepositionsandinstruments,andtherisksinherentineach.Oryoucouldtalkabouttheportfolio’ssensitivities,i.e.howmuchthevalueoftheportfoliochangeswhenvarious1underlyingmarketratesorpriceschange,andperhapsoptiondelta’sandgamma’s.However,youareunlikelyt
7、owinfavorwithyoursuperiorsbyputtingthemtosleep.EvenifyouareconfidentinyourabilitytoexplaintheseinEnglish,youstillhavenonaturalwaytonettheriskofyourshortpositioninDeutschemarksagainstthelongpositioninDutchguilders.(Itmakessensetodothisbecausegainsorlossesonthesho
8、rtpositioninmarkswillbealmostperfectlyoffsetbygainsorlossesonthelongpositioninguilders.)Youcouldsimplyassureyoursuperiorsthatyouneverspeculatebutratherusederivativeso
