: Value at Risk (VAR)

Value at Risk (VAR)

VaR
VAR

(Value at Risk:VaR)
Value at Risk (VAR)
1 95%
VAR VAR
() 1
5 10 1


VAR
Bank for International Settlement (BIS) VaR 10
2 99%
VAR 1 2 3 VaR
VaR BIS VAR

BIS VaR 1
(Back test)
VaR

stress test
BIS

The information and opinions in this report are those of Thai Bond Dealing Centre research activity. Thai BDC does not make any representation or warranty, express or implied, as to the fairness,
accuracy, or completeness. While all reasonable care has no representation as to its accuracy or completeness and it should not be relied upon as such. Thai BDC accepts no liability
whatsoever for any loss arising from use of this report or its contents. This report is being supplied solely for informational purposes and may not be reproduced, distributed or published by
recipient for any purpose

1/4

VAR
1

5%

-50

50
VaR 50 95%
VAR
50 95 100 100
5 50
VaR VAR
: VAR
VaR
VaR VaR VaR

1.

2.
3.
4.
VaR

VaR 3
1. (Variance covariance matrix)
The information and opinions in this report are those of Thai Bond Dealing Centre research activity. Thai BDC does not make any representation or warranty, express or implied, as to the fairness,
accuracy, or completeness. While all reasonable care has no representation as to its accuracy or completeness and it should not be relied upon as such. Thai BDC accepts no liability
whatsoever for any loss arising from use of this report or its contents. This report is being supplied solely for informational purposes and may not be reproduced, distributed or published by
recipient for any purpose

2/4

2. (Historical Simulation)
3. (Monte Carlo Simulation)
VaR
1,000
VaR
1 99% 1
100
VaR

1
( i)

i i - 1
i 1

(SD) 0.02%
VaR (Analytical method)
VaR

95% 1.65
99% 2.33

VaR

VaR
VaR =
2.33 x 0.02% x 1,000,000,000
=
466,000
466,000 99%
1 100 466,000
The information and opinions in this report are those of Thai Bond Dealing Centre research activity. Thai BDC does not make any representation or warranty, express or implied, as to the fairness,
accuracy, or completeness. While all reasonable care has no representation as to its accuracy or completeness and it should not be relied upon as such. Thai BDC accepts no liability
whatsoever for any loss arising from use of this report or its contents. This report is being supplied solely for informational purposes and may not be reproduced, distributed or published by
recipient for any purpose

3/4

VaR VaR 1 100

VaR
VaR

VaR

VaR

Variance-Covariance



()
VaR VaR

1000 10

0
1
2
3
4
5
6
7
8
9
10

100
101
100
99
100
102
99
100
101
102
102

0.0100
-0.0099
-0.0100
0.0101
0.0200
-0.0294
0.0101
0.0100
0.0099
0.0000

/
10,000,000.00
-9,900,990.10
-10,000,000.00
10,101,010.10
20,000,000.00
-29,411,764.71
10,101,010.10
10,000,000.00
9,900,990.10
0.00

-29,411,764.71
-10,000,000.00
-9,900,990.10
0.00
9,900,990.10
10,000,000.00
10,000,000.00
10,101,010.10
10,101,010.10
20,000,000.00

VaR VaR 1 99% 1

100 VaR
The information and opinions in this report are those of Thai Bond Dealing Centre research activity. Thai BDC does not make any representation or warranty, express or implied, as to the fairness,
accuracy, or completeness. While all reasonable care has no representation as to its accuracy or completeness and it should not be relied upon as such. Thai BDC accepts no liability
whatsoever for any loss arising from use of this report or its contents. This report is being supplied solely for informational purposes and may not be reproduced, distributed or published by
recipient for any purpose

4/4

/ VaR /
10 VaR 90% 10 100 1 10
VaR 1 90%
10,000,000 10
VaR VaR

VaR

stress test
VaR (Monte Carlo simulation)


VaR

VaR

The information and opinions in this report are those of Thai Bond Dealing Centre research activity. Thai BDC does not make any representation or warranty, express or implied, as to the fairness,
accuracy, or completeness. While all reasonable care has no representation as to its accuracy or completeness and it should not be relied upon as such. Thai BDC accepts no liability
whatsoever for any loss arising from use of this report or its contents. This report is being supplied solely for informational purposes and may not be reproduced, distributed or published by
recipient for any purpose

5/4