theorangedog.net

Value at Risk, Single Asset, Hull

by theorangedog on Jan.09, 2008, under Skills

I have uploaded a new model to the Models page of foquant.com.

This is a model that can be used to derive the Value at Risk for an investment in a single asset. It uses Hull’s “Model Building Approach” presented in his text, Fundamentals of Futures and Options Markets.

As with Black Scholes, I will be uploading variations and expansions of the model, which will include allowing multiple assets and incorporating the asset’s return into the VaR equation.

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