資源描述：
《Risk Measures and Spread》由會員上傳分享，免費在線閱讀，更多相關(guān)內(nèi)容在學(xué)術(shù)論文-天天文庫。
1、RiskMeasuresWewillshortlygivedefinitionsofvariousriskmeasures.Thesemeasuresarecalculatedbytradingsoftware'stomanagetheriskininstrumentsandinportfolios.Thedeltavalueshowsthesensitivityofthepresentvaluetochangesinthemainsourceofriskofaninstrument.Examplesofsourcesofriskareyi
2、eldcurvesandthepricesofunderlyingassetsandthedeltaiscalculatedseparatelyforthese.Thepricedeltacalculationsareonlyapplicableforderivativeinstrumentswithanunderlyinginstrument,valuedonthebasisofanon-termstructuremodel.Itshowsthechangeintheoreticalpricegivenaunitchangeinthe
3、priceoftheunderlying.Fornon-derivativeinstruments,suchasbonds,adeltapricevalueof1.0isused.ThegeneralDeltaPriceformulaisPVPVUhPVU*scalepriceUhwhereUisthecurrentvalueofthemainsourceofriskandhisthedifferentiationstep.Whenthemarketpriceoftheunderlyingisused,thepriceshifti
4、sarelativeshift,i.e.h=0.0001xU.Whenatheoreticalunderlyingpriceisused,thepriceshiftisanabsoluteshift,i.e.h=0.01Sometimethisvalueiscalleddeltaexplicit.Example:WewanttocalculatetheDeltaPriceforabondusinga)themarketpriceoftheunderlying,andb)thetheoreticalpriceoftheunderlying.a)Assumet
5、hatthecurrentmarketpriceoftheunderlyingisU=100.17.Thepresentvaluewillnowbecalculatedtwice,thefirsttimeusingthecurrentpriceoftheunderlyingandthesecondtimeafterapplyingashifttothepriceoftheunderlyingwiththeshiftsize124expressedash=Ux0.0001=0.010017.Weobtain:PVU(h)PVU()100priceh
6、NomwhereNomisthenominalamount,typicallyonemillion.b)AssumethatthetheoreticalpriceoftheunderlyingisU=100.15.Theshiftsizeisnowh=0.01andU+h=100.16.Thepresentvalueiscalculatedtwice,usingthesetwodifferentpricesfortheunderlying,whichgivestheresultwiththeformulaabove. Theyield
7、curvedeltashowsthechangeinthepresentvalue,givenashiftofonebasispointinallyieldcurvesused.Theshiftisappliedtotheannuallycompoundedzerocouponcurve,usingthedaycountfractionAct/365.Theyielddeltacaneitherrefertoanupwardoradownwardshiftofyields.ThegeneralDeltaYieldformulaisPVrhPVr
8、*scaleyieldwhereh=0.00001andsca
