Financial Daily from THE HINDU group of publications
Wednesday, Jan 02, 2002
Financial Daily from THE HINDU group of publications Wednesday, Jan 02, 2002 |
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Markets
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Stock Exchanges NSE's new VaR system Our Bureau
The system is to be used for measuring the market risk inherent in Government of India (GoI) securities. The NSE-VaR system would provide daily estimates of security-wise VaR at the 1-day and multi-day horizons for securities traded on the NSE-WDM and all outstanding GoI securities, according to a NSE press release. The NSE-VaR system is built on the NSE database of daily yield curves. With this system, market participants can compute their portfolio risk as a weighted average of the security-wise VaRs, the weights being the proportions of the market value of a given security in their portfolio.
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