Indian Journal of Science and Technology
DOI: 10.17485/ijst/2016/v9i10/74613
Year: 2016, Volume: 9, Issue: 10, Pages: 1-7
Original Article
Sastry K. R. Jammalamadaka1*, K. V. N. M. Ramesh2 and J. V. R. Murthy2
1Department of Electronics and Computer Engineering, KL University, Vaddeswaram, Guntur – 522502, Andhra Pradesh, India; [email protected] 2Jawaharlal Nehru Technological University, Kakinada - 533003, Andhra Pradesh, India; [email protected], [email protected]
*Author for Correspondence
Sastry K. R. Jammalamadaka Department of Electronics and Computer Engineering, KL University, Vaddeswaram, Guntur – 522502, Andhra Pradesh, India; [email protected]
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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