Portfolio Construction Based on Implied Correlation Information and Value at Risk

• Autores: Jesús Rogel-Salazar, Roberto Tiella
• Localización: EconoQuantum, ISSN 1870-6622, ISSN-e 2007-9869, Vol. 12, Nº. 1, 2015, págs. 125-144
• Idioma: inglés
• Enlaces
  • Texto completo
• Resumen
  • español

    Resumen Valor en Riesgo (VaR) es una medida usada comúnmente para establecer, dado un nivel de confianza, el peor caso de pérdidas en activos. La correlación implícita obtenida a partir de VaR es una forma alternativa del coeficiente de correlación calculada basándose en rendimiento histórico y en un pronóstico de la peor pérdida. En este trabajo presentamos un tratamiento accesible para estudiantes de economía, finanzas y áreas afines con el objetivo de familiarizar al lector con este estimador de riesgo. Con el uso de tres estudios de caso analizamos el efecto que la correlación implícita apartir de VaR tiene en carteras de tamaño creciente. Calculamos el VaR de cada activo así como la media de correlación implícita. Dicho valor es usado para ajustar las fracciones del presupuesto en la cartera original. Hacemos un seguimiento comparativo de carteras en un plazo de 50 días para identificar tendencias entre el tipo de cartera y riesgo encontrado.

  • English

    Abstract Value at Risk (VaR) is a commonly used downside-risk measure giving the worst-case asset loss over a target horizon for a given confidence level. Implied correlation from VaR is an alternative form of the correlation coefficient calculated not only based on historic performance, but taking into account a forecast of the worst-loss. Given its importance, here we present a treatment that is accessible to undergraduate students in economics, finance and similar areas with the aim of familiarising the reader with this risk measure. With the use of three case studies we analyse the effect that implied correlation from VaR has on portfolios of increasing asset size. The VaR of each asset is calculated as well as a mean implied correlation, , which is used to adjust the original portfolio’s invested fractions in order to view the shift in risk and return. We track comparative portfolios over a 50-day period to identify trends between portfolio type and risk encountered.

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