Market Risk Analysis Volume IV: Value-at-Risk Models

List of Figures

IV.1.1	Probability of underperforming a benchmark by 2% or more
IV.1.2	Illustration of the VaR metric
IV.1.3	Effect of expected active return on benchmark VaR
IV.1.4	P&L distribution for one binary option
IV.1.5	P&L distribution for a portfolio of two binary options
IV.1.6	Simulated P&L density showing 1% VaR
IV.2.1	Illustration of normal linear VaR
IV.2.2	PV01 vector of a UK fixed income portfolio (£000)
IV.2.3	Eigenvectors of covariance matrix of UK spot rates – short end
IV.2.4	First principal component of the UK spot rates – short end
IV.2.5	Systematic and specific VaR based on EWMA
IV.2.6	Total risk factor VaR versus quanto correlation
IV.2.7	Constant maturity futures prices, silver
IV.2.8	Constant maturity futures prices, natural gas
IV.2.9	Comparison of normal VaR and leptokurtic VaR
IV.2.10	FTSE 100 index price
IV.2.11	Comparison of a normal mixture with a normal density of the same variance
IV.2.12	EWMA volatility of the FTSE 100 for different smoothing constants
IV.2.13	NASDAQ 100 and S&P 500 indices
IV.2.14	EWMA volatilities of NASDAQ and S&P 500 indices
IV.2.15	EWMA correlations of NASDAQ and S&P 500 indices
IV.2.16	NASDAQ 100 and S&P 500 indices, 2006–2008
IV.2.17	iTraxx Europe 5-year index
IV.3.1	Log-log plot of holding period versus 5% quantile ratio: S&P 500 index
IV.3.2	Log-log plot of holding period versus quantile ratio: $/£ forex rate
IV.3.3	Log-log plot of holding period versus quantile ratio: ...