• P-ISSN 0974-6846 E-ISSN 0974-5645

Indian Journal of Science and Technology


Indian Journal of Science and Technology

Year: 2016, Volume: 9, Issue: 10, Pages: 1-7

Original Article

A Computationally More Efficient Distance based VaR Methodology for Real Time Market Risk Measurement


Background/Objectives: The main objective of this paper is to compute VaR (Value at risk) which requires minimal resources and the computing is done in real-time with utmost accuracy. Method/Statistical Analysis: The paper presents a methodology which helps in computing VaR in real time and with most accuracy. Very less computational resources are required from computing VaR. The VaR computing methodology proposed in this paper converges as the returns on the portfolio ranges increases. Findings: It has been presented in the paper that the number of valuations required for computing the VaR is dependent on the number of instruments added to the portfolio and is independent of the number of instruments already existing at the time computing VaR. The method proposed in this paper can be used for computing VaR in real time.

Keywords: Market Risk, Portfolio Instruments, Risk Assessment, Real-Time Market Risk Measurement, VaR


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