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Jacques Longerstaey (1-212) 648-4936

riskmetrics@jpmorgan.com

RiskMetrics Monitor

First quarter 1996

Expanding the parametric VaR approach for the treatment of options

Introducing a new tool for loading RiskMetrics data into an Excel spreadsheet

Lessons learned from implementing the RiskMetrics data synchronization algorithm

This quarter, along with the section titled RiskMetrics News, we address the following

subjects:

communiqu announcing the publication in January 1996 of a revised supplement to

the 1988 Basle Capital Accord which deals with market risk.

Responding to the reactions by the banking community to the initial draft of the proposal to

allow financial institutions to use internal models to estimate market risk as a basis for setting

capital requirements, the Basle Committee has modified one of the quantitative provisions of

the model-based approach: Subject to approval by domestic regulators, banks will be allowed

to account for correlation effects across asset classes.

risks for portfolios which contain sizeable positions in nonlinear instruments,

parametric approaches can be refined and implemented to effectively deal with non-

normal P/L distributions.

This article looks at two methodologies which use a basic delta-gamma parametric VaR

precept but achieve similar results to the simulation approach at a much lower cost in

terms of computational intensity.

have developed an Add-In tool that can both access volatility and correlation data from

the datasets and perform basic VaR calculations.

The RiskMetrics Add-In tool will be available by February 1, 1996 from our Internet

site. It will be accompanied by a set of RiskMetrics volatility and correlation datasets

specifically formatted for use with the Add-In. These files will be updated on a daily basis

along with the standard sets.

RiskMetrics Monitor will be implemented at the end of February 1996.

In this section, we review some of the lessons learned in testing the algorithm, including

some modifications which were made to the original methodology, as well as what

segments of the RiskMetrics dataset will be affected by the changes.

New York Morgan Guaranty Trust Company RiskMetrics Monitor

January 23, 1996 Risk Management Services page 2

Jacques Longerstaey (1-212) 648-4936

riskmetrics@jpmorgan.com

RiskMetrics News

Upcoming changes to the RiskMetrics datasets

At the end of February 1996, the following changes will be made to the RiskMetrics

volatility and correlation datasets which are posted daily on the Internet:

1. The revised methodology outlined in the last edition of the RiskMetrics Monitor (Fourth

quarter 1995) to estimate volatility over a 25-day (1-month) horizon will be implemented.

2. The data synchronization algorithms detailed in the RiskMetrics Monitor (Third quarter

1995) and revised in the fourth article of this document will be implemented.

3. The 1-day and 1-week RiskMetrics vertices for money market interest rates will be dropped

from the daily volatility and correlation files. In testing the data synchronization algorithms,

we discovered that the infrequent daily changes in these rates interfered with the process used

to adjust data for time zone differences. Also, given the low level of price volatility at the very

short end of the curve, we felt that users could safely anchor cash flows at the 1-month vertex.

The global benefit achieved by adjusting the data for timing differences outweighed the effect

of dropping the two low-end vertices.

Summit System, Inc.

20 Exchange Place, New York, NY 10005

Harvey Rand (1-212) 269-6990, FAX (1-212) 269-6941, sumsales@pipeline.com

Summit-VaR is an extensive family of tools that has been enriched with a comprehensive

collection of VaR analyses which includes among other analytic capabilities, the

J.P.Morgan RiskMetrics methodology.

Summits RiskMetrics methodology is geared toward estimating the global risk of linear

positions. A complementary scenario analysis, based on stress testing, has been implemented

for options products to capture gamma risk. Summit VaR series also include specific

analyses for bond-related products in the emerging markets, where the lack of liquidity of

some portion of the yield curve may not allow traditional interest rate based analysis to

capture the risk properly.

As with its coverage of interest rate products, Summit also provides a Forex VaR implemen-

tation utilizing the RiskMetrics approach. Finally, with an optional parametric approach,

Summit generates historical VaR figures based on the past behavior of the markets.

New York Morgan Guaranty Trust Company RiskMetrics Monitor

January 23, 1996 Risk Management Services page 3

Jacques Longerstaey (1-212) 648-4936

riskmetrics@jpmorgan.com

Revised proposals allow On December 12, 1995, the Basle Committee on Banking Supervision announced that it would

use of correlations across publish a revised version of the Supplement to the 1988 Basle Capital Accord during the course

asset classes of the month of January. The original version of this supplement which incorporated proposals

defining the scope and usage of internal bank models to estimate market risks was made public

Banks will be allowed to

in April 1995 and opened for comment by financial institutions.

scale up daily VaR

numbers to 10-day

The revised proposals, set to be implemented by the end of 1997, essentially address two of

regulatory horizon

the concerns banks expressed in their official responses to the original draft:

Other qualitative and

Internal bank models will be allowed to use correlations both within and across asset classes

quantitative standards are

to estimate a fully diversified Value at Risk.

unchanged

Banks will be allowed to scale up their (mostly) daily internal Value at Risk estimates to the

10-day horizon required by the regulatory authorities. Banks had argued in their response to

the original proposal that it would be burdensome for them to maintain two frameworks for

estimating market risk using different horizons and that it would be prohibitively expensive to

back-test models for the 10-day horizon as firms would be required to keep position and price

data for 10 overlapping portfolios.

None of the other quantitative standards (10-day risk horizon, 99% confidence, at least 1-

year historical volatility data, capital charge based on the higher of the VaR estimate or

three times the average VaR over the preceding 60 business days) have been modified.

dataset as it is currently produced. The estimates of volatil-

ity which are published daily are based on a 1-day, 95%

confidence basis and can easily be rescaled. Correlations

both within and across asset classes are included in the

dataset files. Further the RiskMetrics regulatory datasets

have recently been expanded to incorporate all information

which was previously only included in the standard sets

such as yield data.

While addressing some of the concerns of financial institutions, the revised proposals are

still unclear on a number of issues:

While the document mentions that banks will be allowed to use correlations across asset

classes, the document makes their use subject to approval by individual country supervi-

sors, which will judge the integrity of the methodology used. Supervisors will therefore

be burdened with the added responsibility of verifying whether correlations are updated

regularly and tested for stability (which can have a different meaning whether one is speaking

to an economist or statistician). How this will be implemented in practice remains to be seen.

Banks will be allowed to scale up their daily VaR estimates to arrive at the 10-day holding

period. It is not clear which methodologies will be permitted (square root of time?) and what

impact this will have on back testing the results. It has been our experience that back-testing a

daily VaR estimate would tell little about the accuracy of a 10-day holding period model.

These points may be clarified when the complete document is released some time this

month. We suspect, however, that the proposals may be interpreted differently by country

supervisors and that the exact modus operandi of the proposals will be made clearer through

implementation experience.

New York Morgan Guaranty Trust Company RiskMetrics Monitor

January 23, 1996 Risk Management Services page 4

Peter Zangari (1-212) 648-8641

zangari_peter@jpmorgan.com

Risk managers who implement Value at Risk (VaR) systems frequently face the daunting

task of measuring the risk of a portfolio that contains options. The nature of this problem

results from the standard VaR assumption that portfolio return distributions are condition-

ally normal. Among other things, this implies that return distributions are symmetric.

However, due to the payoff structure of options, many portfolios that include options have

return distributions that are, at the very least, skewed.1 In this article we suggest a modifica-

tion to standard VaR computations that offer practitioners a means of estimating the risk of

a portfolio that includes options.

In its standard context VaR estimates are given by the bands of a symmetric confidence interval

around the expected value of a portfolios return. These bands represent the largest expected

change in the value of the portfolio with a specified level of probability. For example, if RP is the

return on a portfolio with mean E(RP), its 90% confidence interval is given by:

Cv = {1.65 P + E( RP ), E( RP ) + 1.65 P}

where -/+ 1.65 are the 5th/95th percentiles of the standardized normal distribution. Over short

horizons, the estimate of E(Rp) is often set to zero to reduce the noise in estimating the sample

mean.2

even if these returns are distributed normally, the confidence interval estimate for the

expected value of the portfolio using CV is inappropriate. For example, portfolios with

nonlinear payoffs may have skewed return distributions. Skewness invalidates the applica-

tion of symmetry imposed by the scale factors +/- 1.65 (the quantiles of the standard normal

distribution). In addition, nonlinearities transform the moments (e.g., mean, variance,

skewness, etc.) of the underlying return distribution. Therefore, assumptions placed on the

expected values of underlying returns do not necessarily carry over to a portfolios expected

values.

In order to properly evaluate the risk of a portfolio that contains nonlinear instruments,

researchers often propose full simulation routines. According to this methodology, a path of

future underlying prices are generated and the portfolios value, which consists of options,

is revalued at various prices along the path. A specific type of full simulation, known as

Structured Monte Carlo, is outlined in the RiskMetrics Technical Document. A major

disadvantage of the full simulation approach is that it is computationally and time intensive.

This study presents two methods to compute the Value at Risk estimates of portfolios with

nonlinear payoffs that do not require full simulation. Its goal is to present a methodology

that is relatively simple to implement and does not require a lot of computer time. The methodol-

ogy is developed from first principles and is used to compute the VaR over a five-week

horizon of the following position.3

On April 18, 1995, a U.S. dollar based investor buys a USD1,000,000 nominal value 2-year

French franc government bond (OAT Strip) at a yield of 7.147%. In order to hedge FX expo-

sure, the investor buys a 5-week (which corresponds to the investment horizon) FRF/USD put

2 See RiskMetrics Technical Document for details.

3 This position originally appeared in the RiskMetrics Technical Document, 3rd edition.

New York Morgan Guaranty Trust Company RiskMetrics Monitor

January 23, 1996 Risk Management Services page 5

Peter Zangari (1-212) 648-8641

zangari_peter@jpmorgan.com

option on a notional USD 870,994 at the money forward FX rate of 4.864. The current value of

the option is FRF/USD 0.04616. Therefore, it costs USD 8,289 to hedge USD 870,994.

Market risk is often analyzed in terms of its delta (1st order) and gamma (2nd order) risk.

Below, in the case where VaR incorporates gamma risk, we compare results obtained using

the methods described herein to those given by full simulation which serves as our bench-

mark. In so doing we highlight important differences and similarities among the different

methodologies. To facilitate the discussion we will use the following definitions and

parameter settings.

PV = Amount of current position in USD (present value) PX(t +1) = any future value of PX(t)

= USD870,994

RB = 5-week return on 2-year OAT Current spot rate FRF/USD=4.855

B = 5-week forecast standard deviation of bond price 1-month forward FRF/USD rate=4.684

= 0.7757% (yield standard deviation=5.83%)

RX = 5-week return on FRF/USD exchange rate Current 2-year OAT yield=7.147%

X = 5-week forecast standard deviation of FX rate Current 2-year USD yield=6.125%

= 3.117%

= 0.532 = 3.15

RO = return on FX option B, X = correlation of OAT and FX rate

= -.291

We analyze the risk of the synthetic portfolio as follows. First, the option is ignored and we

compute the Value at Risk of the position that consists only of the purchased OAT. We then

introduce the option to hedge foreign exchange risk on the OAT. We focus on two specific types

of market risk associated with holding the option delta risk and gamma risk. Initially we focus

exclusively on delta risk since the standard VaR methodology is still applicable. Next, gamma

risk is added. Now, the nonlinearity of the options payoff dominates the portfolios return

distribution. Since standard VaR methodology is no longer appropriate, we use a normal

analytical approximation known as the Cornish-Fisher expansion to find the percentiles of this

portfolios distribution. These percentiles are then used to estimate VaR. Finally, we conduct an

experiment to determine how the normal approximation performs. The method used in this

experiment, which we refer to as partial simulation, actually turns out to be an alternative

technique that may be used to compute VaR in the presence of gamma risk.

Suppose the investor buys the OAT but does not hedge its foreign exchange exposure. In this

case the return on the portfolio, RP, is simply the sum of the returns on the FRF/USD and OAT

which is written as RP=RX + RB. Its standard deviation is:

[1] 1 = 2B + 2X + 2 * B, X B X

Assuming that RX and R B are normal, as in standard VaR, we know that RP is also normal so the

Value at Risk of holding the foreign bond is

Hedging FX exposure

In an effort to reduce foreign exchange market risk the investor buys a put option on the FRF/

USD exchange rate. Having purchased the put option, the return on the portfolio that also

New York Morgan Guaranty Trust Company RiskMetrics Monitor

January 23, 1996 Risk Management Services page 6

Peter Zangari (1-212) 648-8641

zangari_peter@jpmorgan.com

consists of the OAT is now RP=RB+RX+RO . In order to compute the return on the portfolio, RP,

we need an expression for the return on the option, RO. We value the FX option using the

Garman-Kohlhagen formula. Specifically, for a given set of parameters denote the options

value by V(PX(t),K,,,X) where:

A first step toward obtaining an expression for RO is to approximate the future value of the

option V( PX(t +1) ,K,, r, X) with a 2nd-order Taylor series expansion around the current values

(spot rates), PX(t) , K, , r, and X. This yields4

1

[3] V ( PX (t +1) , K , r, , X ) Vo ( PX (t ) , K, r, , X ) + ( PX (t +1) PX (t ) ) + 2 ( PX (t +1) PX (t ) )

2

1

which can be written more succinctly as dV = dPX + (dPX ) 2 where the options delta

2

() and gamma () are equal to 0.532 and 3.15, respectively.

Note dV, the absolute change in the value of the option, is in units of PX. This follows from the

fact that is unitless and is in units of 1/PX. Since RiskMetrics currently provides the

volatility of returns we write dV as a function of relative price changes

2

dP 1 dP

dV = Px(t) * * x + * Px(t)

2

** x

x(t)

P 2 Px(t)

[4] or

dV = Px(t) * * (R x ) + * * (R x )

1 2 2

* Px(t)

2

Here, dV relates an absolute change in the value of the option to a relative change in the foreign

exchange rate. However, since dV is still in units of PX we need to standardize it to make it

unitless. This allows us to obtain the relative return on the option

1

[5] R o = * (R x ) + * Px(t) * * (R x )2

2

PX(t) (R X )

1 2

[6] R P = RB + RX + R X +

2

4 In the following expression, delta () is the first derivative of V with respect to PX and gamma () is the second

derivative of V with respect to PX.

New York Morgan Guaranty Trust Company RiskMetrics Monitor

January 23, 1996 Risk Management Services page 7

Peter Zangari (1-212) 648-8641

zangari_peter@jpmorgan.com

Since the investor is purchasing a put to hedge foreign exchange risk, < 0. For ease of exposi-

tion we will use = in the following analysis. Notice from [6] that we can compute two

types of Value at Risk estimates. The first incorporates the linear risk of the option. In this case,

we use only the first three terms of [6]. Alternatively, we can capture the nonlinear features of

the options return distribution by also including the gamma effect (the last term).

If the investor only wants to account for the delta component of the option, the return on the

portfolio is:

[7] R P = R B + (1 * )R X

[8] 2 = 2B + (1 * ) 2 2X + 2 * (1 * ) 2B, X

Assuming that both RB and Rx are normal implies that RP is also normal. The Value at Risk of

this hedged position accounting only for the delta risk of the option is

Intuitively, it can be seen from [8] that when *=1, the FX risk is completely hedged and all that

is left is interest rate risk. On the other hand, *=0 implies there is no hedge and the position is

as if the investor held a foreign bond (see [1]). For values of * between 0 and 1, the VaR of

holding a foreign bond and FX option will be lower than if no option was held.

As previously shown, the portfolios return that accounts for both the delta and gamma effect of

the option is

PX(t) (R X )

1 2

[10] R GP = RB + (1 * ) RX +

2

A consequence of including the term is that R GP s distribution becomes right skewed. To see

how the options delta and gamma components effect the portfolios return distribution, chart 1

presents probability density functions (pdf) for two portfolio return series. One pdf is based only

on the delta component (see [7]), the other is based on both the delta and gamma components

(see [10]).

Chart 1

The effect of incorporating gamma risk on a portfolios return distribution

70

60 delta

50

40

30

20

delta+gamma

10

0

-0.04 -0.02 0 0.02 0.04 0.06

New York Morgan Guaranty Trust Company RiskMetrics Monitor

January 23, 1996 Risk Management Services page 8

Peter Zangari (1-212) 648-8641

zangari_peter@jpmorgan.com

A striking feature from chart 1 is the skewness embedded in the return distribution that includes

the gamma effect. In fact, the distribution (grey line) that only accounts for delta is simply a

scaled version of the normal distribution. Finally, for future use we need to derive the standard

deviation of R GP which is presented below

1

[11] 3 = B2 + (1 * )2 * X2 + 2 * (1 * ) * B,X

2

+ * PX2 (t ) * * X4

2

This expression5 follows from the assumption that RB and RX are normal.

In the presence of gamma risk, normal VaR methodology which relies on the critical values +/-

1.65 will give misleading risk estimates. The reason for this is simple: +/- 1.65 come from the

normal distribution, however, as seen from chart 1, the gamma component of the option causes

the portfolio return distribution to be highly skewed. The inaccuracy of normal VaR is shown in

chart 2 below. We plot R GP s distribution (grey line) and that given by the normal distribution

with a zero mean and a variance equal to 32 (black line).

Chart 2

A comparison of true VaR and standard VaR

60

50

Normal VaR

40

True VaR

30

20

10

0

-0.08 -0.04 0 0.04 0.08

Essentially, by incorporating gamma risk the investor reduces his risk by the difference between

true VaR and normal VaR. The discrepancy between true and normal VaR leads us to search for

methods that augment the standard VaR methodology to account for the skewed return distribu-

tion. In particular, we seek counterparts to the quantiles +/- 1.65 that capture the skewness of

R GP s distribution.

Focusing on analytical solutions, there are basically three approaches we could take to find the

percentiles of R GP s distribution. First, we could match the moments of R GP to a general family

of distributions (Pearson family), second, we could construct the distribution of R GP as a

deformation of a standard normal variables, and, third, we could use the moments of R GP and a

normal analytical approximation to estimate the percentiles of R GP . In this article we describe

how to apply this last method. We find the critical points of R GP s distribution (i.e., the counter-

parts to -/+ 1.65) by applying a formula known as the Cornish-Fisher expansion.

Applications of normal analytical approximations are motivated by the understanding that any

New York Morgan Guaranty Trust Company RiskMetrics Monitor

January 23, 1996 Risk Management Services page 9

Peter Zangari (1-212) 648-8641

zangari_peter@jpmorgan.com

any distribution can be viewed as a function of any other one. For example, the 5th and 95th

percentiles of R GP s distribution denoted cv.05 and cv.95 can be calculated as a function of the

standard normal percentiles z.05 =-1.65 and z.95 =1.65, and R GP s estimated moments. To be

more specific, consider again the normal 90% confidence interval around the mean portfolio

return E[RP]

[12] {

C v = 1.65 P + E(R p ), E(R p ) + 1.65 P }

Under the maintained assumptions, when Rp is no longer normal, that is, when Rp becomes R GP

we can write the approximate confidence interval for E[ R GP ] as

[13]

{[ ] [ ]

CG = E RPG + (1.65 + s.05 ) * , E RPG + (1.65 + s.95 ) * }

= {E[ R ] + (cv

G

P .05 ) * , E [ ] + (cv

RPG .95 ) * }

The main purpose of the correction term s is to adjust for skewness. To a lesser extent it corrects

for higher-order departures from normality. In the case of the normal approximation interval,

s.05=s.95=0. In practice, the Cornish-Fisher expansion allows us to compute the adjusted critical

values cv.05 and cv.95 as a function of the normal critical values z.05 and z.95 directly.6

1 2 1 3 1

[14] cv = z + ( za 1) * 3 + ( z 3z ) * 4 (2 z3 5z ) * 32

6 24 36

where

3=E[( R GP -E[ R GP ])3/3 measures R GP s skewness

4=E[( R GP -E[ R GP ])4/4-3 measures R GP s kurtosis

For example, if we wanted to compute the adjusted percentile cv.05 associated with -1.65, we

would use:

[15]

1 1 1

cv.05 = 1.65 + ((1.65)2 1) * 3 + ((1.65)3 3(1.65)) * 4 (2(1.65)3 5(1.65))32

6 24 36

Under the assumption that returns are normally distributed, 3 and 4 can be written

directly as a function of the variances and covariances of RB and R X. This result is very

useful since multivariate extensions are straightforward and standard VaR calculations

already require a covariance matrix. The measures 3 and 4 depend on the cumulants of R GP

where the first four cumulants of R GP , denoted {1, 2, 3, 4 } are defined as

1 = E[ R GP ]

2 = var( R GP ) = E[( R GP )2 ] E[( R GP )]2

[16]

3 = ( E[ R GP ] E[( R GP )])3

4 = ( E[ R GP ] E[( R GP )]) 4 3 var( R GP )2

6 In this article we present only the first 4 terms of the Cornish-Fisher expression. For a sample size n, this

approximation has an error of order O(n-3/2). For a more complete version, see Johnson and Kotz (1970).

New York Morgan Guaranty Trust Company RiskMetrics Monitor

January 23, 1996 Risk Management Services page 10

Peter Zangari (1-212) 648-8641

zangari_peter@jpmorgan.com

3=0.000844%, and 4= 0.00000109% and the standardized coefficients7 are 3=1.48 and

4=0.107. Substituting these values into [14], R GP s lower (cv.05) and upper (cv.95) critical

values are -1.176 and 2.029, respectively. Table 1 compares these values to those from the

normal distribution. It is evident that the Cornish-Fisher approximation captures the

skewness of R GP s distribution.

Table 1

Percentiles for normal and Cornish-Fisher approximation

Cornish-Fisher approximation -1.176 2.029

Relative difference +28.7% +22.9%

Having calculated the adjusted percentiles, the 90% confidence interval for the expected return

on the portfolio that consists of an OAT and a put option is:

where p = 1.78% and E(R GP ) = 0.745% . Using these results, the VaR of this portfolio is

When applying [15] it is important to remember that this expression is exact only when the true

values of the standardized cumulants are used. In practice, however, we evaluate [14] using

sample estimates of the standardized cumulants. When sample estimates are used to evaluate a

mathematical expression we face what is known as a certainty equivalence problem. Essen-

tially what happens is that the estimation error embedded in the sample estimates is carried over

to the numerical value produced by [14]. Consequently, if there is a lot of estimation error, the

Cornish-Fisher critical values (cvs) will be inaccurate. To determine how estimation error

affects the Cornish-Fisher approximation, we find the critical values of R GP by simulating its

distribution and then finding the 5th and 95th percentiles. Note that this is not the same as full

simulation mentioned earlier because here nothing is revalued. All that is required is that we

generate a matrix of normal random numbers denoted Y and then apply [10].

This partial simulation approach works as follows. Let N denote the number of simulated

random variables and define an Nx2 matrix of independent normal random variablesY=[Y1 Y2]

where Y1 and Y2 are both N x 1 random. Using Y and the covariance matrix of RB and R X

denoted , simulate X=[RB RX] , an Nx2 matrix of correlated normal random variables vectors.8

Defining =[1, 1-] (2x1), =[0,] (2x1) and PX as the spot FRF/USD exchange rate, the

distribution of R GP is generated using the expression:

1

[18] R GP = X * + Px * X 2 *

2

7 Exact formulae for the cumulants are provided in a Technical Appendix that is available from the author upon

request

8 See RiskMetrics Technical document (3rd edition) for details

New York Morgan Guaranty Trust Company RiskMetrics Monitor

January 23, 1996 Risk Management Services page 11

Peter Zangari (1-212) 648-8641

zangari_peter@jpmorgan.com

Denoting the 5th percentile of the standardized distribution of R GP by m.05, VaR under partial

simulation is:

Table 2 summarizes the results of this section and presents VaR estimates produced by full

simulation.

Table 2

VaR bands for various methodologies

USD

Confidence

Interval Cornish Partial Full

90% Normal Fisher simulation simulation

Upper 5% 20,698 31,543 29,789 33,538

The Cornish-Fisher expansion and the partial simulation approach give similar results and both

are an improvement over the normal model (in comparison to full simulation). In full simulation,

the 5th percentile of the profit/loss distribution is USD -4,008. Since the mean of the distribution

is USD 15,588, the adverse price move from the mean (VaR) is USD 19,596.

In the previous section we established how accounting for the gamma effect

1 2 * PX(t) * * (R X )2 skews the portfolios return distribution. Another feature of including this

term is that even if it is assumed that the underlying returns have a zero mean

(i.e., E[R B]=E[ RX ]=0), the portfolios expected value, E[ RPG ] , is not necessarily zero since

1

E[R GP ] = * * PX(t) * X2

[20] 2

= 0.745%

or E[ RPG ] = USD 6, 488

Using this as the appropriate mean portfolio return, we can compare the lower and upper bounds

of 90% confidence intervals generated by normal, Cornish-Fisher, partial and full simulation

methods. These bounds are presented in table 3.

Table 3

VaR bands relative to expected portfolio return

Values correspond to VaR + mean portfolio return (in USD)

Confidence

Interval Cornish Partial Full

90% Normal Fisher simulation simulation

Upper 5% 27,186 38,031 36,277 49,126

New York Morgan Guaranty Trust Company RiskMetrics Monitor

January 23, 1996 Risk Management Services page 12

Peter Zangari (1-212) 648-8641

zangari_peter@jpmorgan.com

Finally, recall that the coverage cost of USD 870,994 is USD 8,289. Since this is a sunk cost,

when computing the confidence bands it should be subtracted from the portfolios expected

return. Table 4 presents confidence bands which are adjusted for the both the portfolios

expected return and the options cost.

Table 4

Confidence bands relative to expected portfolio return and option cost

values correspond to VaR + mean portfolio return - option cost (in USD)

Confidence

Interval Cornish Partial Full

90% Normal Fisher simulation simulation

Upper 5% 35,475 46,320 44,566 40,837

Conclusion

This article describes two alternative methodologies to estimate VaR on portfolios that include

options when accounting for gamma risk. The Cornish-Fisher expansion provides an analytical

approximation to the percentiles of a portfolios true return distribution. In VaR estimation,

these percentiles are used in place of their normal counterparts +/- 1.65. Based on a synthetic

portfolio that consists of a French government bond (OAT) and a foreign exchange option, this

approximation offers an improvement over normal VaR estimates. However, in practice, the

Cornish-Fisher expression may yield inaccurate results because it is evaluated at sample

estimates of skewness and kurtosis rather than at their true values. To address this issue, a

partial simulation approach is suggested that requires the simulation of correlated multivariate

normal random variates. These variates are then transformed into the portfolios return distribu-

tion from which the appropriate percentiles are found. While partial simulation does not require

the calculation of sample estimates, its main drawback is that the percentiles it produces are

subject to simulation error. Ultimately, evaluating the performance of these adjustments is an

empirical issue. This requires estimating VaR on portfolios of different size and composition.

Those interested in such studies as well as the technical details of this paper including exten-

sions to larger portfolios should contact the author using the number (e-mail address) listed

above.

New York Morgan Guaranty Trust Company RiskMetrics Monitor

January 23, 1996 Risk Management Services page 13

Scott Howard(1-212) 648-4317

howard_james_s@jpmorgan.com

Many RiskMetrics users who wanted to incorporate the datasets into Excel spreadsheets

have often had to find convoluted ways to make use of the data because the correlation files

are so large (i.e., over three MB and 100,000 rows each).

This new Excel Add-In provides ready access to the RiskMetrics data and allows individuals

to customize the calculation for only those instruments in which positions are held. This section

outlines the necessary spreadsheet formulas and macro commands to utilize the Add-In. It also

provides potential users with a detailed example.

The file and instrument names parameters are case sensitive. Filename is not the same

as filename even though both are legitimate in and of themselves as file names.

The volatility and correlation files must have the same prefix, e.g., rm2dly. In addition

their suffixes must be .vol and .cor respectively.

All instrument names should be entered in upper case; AUD.XS is correct. Aud.XS is

not.

The Add-In function always looks to the current working directory for the datasets. It may

be necessary to include the full path when entering the parameter for the datasets.

Setting up

The new data sets can be downloaded from the Internet at URL:

http://www.jpmorgan.com//MarketDataInd/RiskMetrics/download-data.html

ftp://ftp.jpmorgan.com/pub/RiskMetrics/

The first step is to create a macro like the one shown below that clears the memory of any

previously loaded RiskMetrics matrices and loads the one you specified.

=JPMVAR(ERR_LOG,1) Turn error logging on

=JPMVAR(VAR_TS_FREE_MATRIX,rm2dly) clears matrix from memory,e.g.,rm2dly

=JPMVAR(VAR_TS_LOAD_MATRIX,rm2dly,A,list) loads specified matrix

=RETURN()

Note that the volatility and correlation file name prefix is included in the second and third

command.

The last parameter passed in the VAR_TS_LOAD_MATRIX command, i.e., list, refers to the

list of the instrument names you wish to load. This can include from one to all of the

RiskMetrics instruments. This list can be a reference to a range in a spreadsheet or macro file

or a separate text file.

Shown below is a sample list of instruments. Instrument names used by the Add-In are case

New York Morgan Guaranty Trust Company RiskMetrics Monitor

January 23, 1996 Risk Management Services page 14

Scott Howard(1-212) 648-4317

howard_james_s@jpmorgan.com

N O P

UPPER CASE. Assume cells from

1

O2 to O9 represent the instruments

you are interested in. This range has 2 AUD.XS

been named Instru_list. This range 3 AUD.SO2

name can be used, in quotes, as one 4 AUD.Z02

of the parameters for the Add-In 5 BEF.S02

functions, e.g., list in the third 6 BEF.Z02

macro line shown above. 7 BEF.XS

8 CAD.XS

9 CHF.XS

Example

For this example we suppose you are USD based and have the following positions (expressed in

USD equivalents):

FRF 55 million of 3-year swap

GBP 25 million in 7-year government zero

GBP -80 million in a 5-year swap.

Assume the daily dataset for December 15, 1995 (rm2dly.sit) has been downloaded, decom-

pressed, and you have renamed the two files it contains to have the same prefix.

Volatility file, dv121595.vol has been renamed to rm2dly.vol

Correlation file, dc121595.cor has been renamed to rm2dly.cor

Open or load the Add-In file. (Refer to appendix for platform specifics).

Next, open a spreadsheet that could look like the one pictured below. The order of the positions

is not important, e.g., GBP.S05 could have been listed first or last. Note that because you are

USD based you have foreign exchange risk as well as interest rate risk. The position and

instrument code columns can be reversed provided the parameters in the function call are

referenced to the appropriate cell.

A B C D

1

2 Market value

3 Position Instrument DEaR Volatility

4 -80 GBP.S05 30.1594 0.37699

5 55 FRF.S03 20.9803 0.38146

6 25 GBP.Z07 15.2091 0.60837

7 55 FRF.XS 44.1451 0.80264

8 -55 GBP.XS 15.2519 0.61008

9 Diversification effect 70.0060

1 0 Total VaR 55.7398

The formula that would be entered in C4 for DEaR of the GBP 5-year swap position:

New York Morgan Guaranty Trust Company RiskMetrics Monitor

January 23, 1996 Risk Management Services page 15

Scott Howard(1-212) 648-4317

howard_james_s@jpmorgan.com

or

=JPMVAR(VAR_TS_CALC,rm2dly,A4, B4)

Note that the file name is entered with double quotes. Reference can also be made to a

specific or defined name cell that contains the file prefix, e.g., rm2dly. This will simplify

copying and pasting.

The formula in cell C10 shows the total diversified DEaR estimate. In its formula, the

positions and instrument names are now referenced as arrays.

=JPMVAR(VAR_TS_CALC,rm2dly,A4:A8, B4:B8)

Cell C9 is the diversification effect. It is equal to the sum of the individual DEaRs in cells

C4 to C8 less the total DEaR in cell C10.

Now lets turn to individual volatilities. The 1-day volatility of the DEM 5-year swap as

shown in cell D4 is returned by the formula;

=JPMVAR(VAR_TS_VOLS,rm2dly,B4)

What are the correlations between the instruments? Shown below is an example as to how

correlation data can be retrieved. It can be listed anywhere on the spreadsheet. To return the

correlation between two instruments you enter:

So the formula to return the correlation of the 3-year FRF swap to the 5-year GBP swap

would be:

=JPMVAR(VAR_TS_CORR,rm2dly,B5, B4)

J K L

1 Correlations

2 Instrument 1 Instrument 2 Value

3 DEM.S05 FRF.S03 0.02784

4 DEM.S05 GBP.Z07 0.66728

5 DEM.S05 FRF.XS 0.34253

6 DEM.S05 GBP.XS 0.02825

7 FRF.S03 GBP.Z07 0.40524

8 FRF.S03 FRF.XS -0.25479

9 FRF.S03 GBP.XS -0.15662

New York Morgan Guaranty Trust Company RiskMetrics Monitor

January 23, 1996 Risk Management Services page 16

Scott Howard(1-212) 648-4317

howard_james_s@jpmorgan.com

Appendix

Loading the Add-In

PC (Windows)

Open the JPMVAR.XLL file from the File menu or

Add JPMVAR.XLL to the Add-In Manager list of Add-Ins

MacIntosh

Double-click on the JPMVAR icon to start Excel

Open the JPMVAR file from the File menu

Add JPMVAR to the Add-In Manager list of Add-Ins.

Add-In Verification

You can verify that the Add-In has been properly loaded by selecting a cell on a spreadsheet

and typing:

=JPMVAR(VERSION)

This will return JPMVAR Add-In Version 6.00 if the Add-In is loaded.

PC (Windows) - UNREGISTER(JPMVAR.XLL)

MacIntosh - UNREGISTER(JPMVAR)

If the Add-In was loaded by adding it to the Add-In Manager list, it can be unloaded by

removing it from the list.

= JPMVAR(Add-in Function Name, Pararmeter 1, , Parameter N)

Sample Formulas

Errors

Errors conditions are detected and recorded in a file called error.log. When unexplained

errors occur, users should ensure that error logging is ON and examine the error.log file. Its

location is:

MacIntosh - desktop

Errors can also be returned by using the Error_get_log function (see below).

New York Morgan Guaranty Trust Company RiskMetrics Monitor

January 23, 1996 Risk Management Services page 17

Scott Howard(1-212) 648-4317

howard_james_s@jpmorgan.com

Analytics

The VaR calculation works in two steps. First it takes the position array and converts it into an

intermediate position risk array using the position vector and the respective price volatility for

each instrument:

T=Transpose

Ranges must contain fewer than 4,000 cells

Text ranges must contain fewer than 255 cells.

Add-In Functions

VAR _TS_FREE_MATRIX

They must be the same. The routine automatically

add the default extension (.vol & .cor). May need

to include path.

Return Value: Status[integer]

VAR_TS_LOAD_MATRIX

This loads the RiskMetrics dataset file into memory. This function must be called prior to

calling VAR_TS_CALC. It should only be called once. When this function loads a matrix, the

instrument names are matched against names in the volatility matrix/vector and only names that

match are read into memory. Only if you want all the instruments will the entire 1.6 MB of the

correlation matrix be read into memory.

=JPMVAR(VAR_TS_LOAD_MATRIX,rm2dly,A,Reference to List)

They must be the same. The routine automatically

adds the default extension (.vol & .cor). May need

to include full path.

2 Source of instrument names. It is strongly recommended (A)rray or (F)ile

that the A, parameter be used to indicate that the

names are contained in a spreadsheet.array.

3 Reference to list/array of Instrument names. N/A

New York Morgan Guaranty Trust Company RiskMetrics Monitor

January 23, 1996 Risk Management Services page 18

Scott Howard(1-212) 648-4317

howard_james_s@jpmorgan.com

VAR_TS_CALC

Returns the RiskMetrics DEaR estimate for the single or set of positions based upon the

instrument defined amount..

=JPMVAR(VAR_TS_CALC,rm2dly,Range 1,Range 2)

1 Prefix of volatility and correlation files.[text] They must Valid file prefix

be the same. The routine automatically add the default

extension (.vol & .cor). May need to include full path.

2 Position array. [real number array] N/A

3 Names or range array N/A

Return Value: Value at Risk [real number]

Note: When entering in the formula as an array you must press the appropriate keys to have the

input recognized as an array; see below. Also range 1 and range 2 must have the same number

of rows or columns. Output is one VaR per row/column pair.

PC (Windows) - Control+Shift+Enter

MacIntosh - Command+Enter

(Use the Enter key and not the Return key)

VAR_TS_VOL

This routine returns the volatility of a given instrument, e.g. Australian dollar against the

U.S. Dollar (AUD.XS) or the five year U.S. government zero rate (USD.Z05). Each volatility

represents 1.65 standard deviations. The matrix must already be loaded in memory with the

VR_TS_LOAD_MATRIX function. The instrument name argument is matched to an instru-

ment name associated with the volatility vector in memory.

=JPMVAR(VAR_TS_VOL,rm2dly,A2)

1 Prefix of volatility and correlation files.[text]. They must Valid file prefix

be the same. The routine automatically adds the default

extension (.vol & .cor). May need to include full path.

2 Name of instrument [text] Valid instrument name

Return Value: volatility [real number]

Errors:

Time series not found.

Specified matrix files not found

VAR_TS_CORR

This routine returns the correlation between two given time series. The matrix must already

be loaded in memory with the VAR_TS_LOAD_MATRIX function. The time series names

arguments are matched to time series names associated with the correlation matrix in memory.

New York Morgan Guaranty Trust Company RiskMetrics Monitor

January 23, 1996 Risk Management Services page 19

Scott Howard(1-212) 648-4317

howard_james_s@jpmorgan.com

=JPMVAR(VAR_TS_CORR,rm2dly,Reference 1, Reference 2)

1 Prefix of volatility and correlation files.[text]. They must Valid file prefix

be the same. The routine automatically adds the default

extension (.vol & .cor). May need to include full path.

2 Name of first instrument Valid instrument name

3 Name of second instrument Valid instrument name

Return value: Correlation [real number].

Errors:

Time series not found.

Specified matrix files not found.

ERR_LOG

This routine turns error logging on and off (the default is off).

=JPMVAR(ERR_LOG,1)

0 is Off

ERR_GET_LOG

This routine returns the last messages in the error.log file, up to 20 messages. The ERR_LOG

must be turned on before this routine is used. Output is refreshed when the function is

recalculated. You MUST force recalculation by editing the formula or via macro logic.

=JPMVAR(ERR_GET_LOG)

New York Morgan Guaranty Trust Company RiskMetrics Monitor

January 23, 1996 Risk Management Services page 20

John Matero(1-212) 648-8146

matero_john@jpmorgan.com

In the third quarter 1995 edition of the RiskMetrics Monitor, we outlined a methodology

to adjust correlations from nonsynchronous data. Since then, we have conducted a signifi-

cant number of tests to verify the feasibility of adjusting a large set of time series as well as

the reasonableness of our technique.

First, we reiterate the methodology to adjust correlation from nonsynchronous data. The

following algorithm explains how the correlation matrix is adjusted when the underlying

return series are nonsynchronous.

square matrix and it must be positive definite).

2) Compute the nonsynchronous data adjustment matrix K where the elements of K are:

obs obs obs obs

1 , rj,t ) for k j

kk, j =

0 for k = j

3) Calculate the eigenvalues of the matrix KR-1. Denote these eigenvalues by di for i=1,2,...,N.

1

0= , 1

min di

is an arbitrarily small number.

5) Form the corrected covariance matrix M such that M=R+*K and its associated

correlation matrix Mcorr.

ii. Mcorr does not contain any elements are larger than one in absolute value.

7) If (i) or (ii) is not satisfied, reduce and repeat steps 5 and 6. Otherwise keep Mcorr as

the new correlation matrix.

The time at which a price or yield is recorded determines whether or not a time series will be

included in the adjustment process. If a pair of series are recorded at times that differ by

eight hours or more, then the resulting correlation estimate was adjusted. In summary, the

following instruments have been included in the process.

New York Morgan Guaranty Trust Company RiskMetrics Monitor

January 23, 1996 Risk Management Services page 21

John Matero(1-212) 648-8146

matero_john@jpmorgan.com

Government bonds AUD, JPY, NZD All

Interest rate swap HKD, NZD, SGD All

Equity AUD, HKD, JPY, NZD, SGD All

Refer to the RiskMetrics Technical Document (Section D) for the schedules of times.

Recall that the algorithm requires the covariance matrix to be an n-dimensional square matrix

and positive definite. We synchronized matrices of varying size, ranging from 2x2 to 100x100,

and checked the reasonableness of the results. Reasonable was defined with respect to the

original correlations an unreasonable result would be one whose synchronized correlation

series was markedly more noisy than the original. Incidentally, this noise may be due to the

computers imprecision and not from estimation. In the end, we determined that a square matrix

of order 2 produced the most satisfactory adjusted correlation estimates.

Further, note that the algorithm for the corrected covariance matrix, M, was given as

M=R+*K. Also note that the unadjusted (or, current, RiskMetrics) covariance matrix, R, is

estimated as

The new elements of the final matrix are then 2 new,t = current,t

2

+ adjusted,t

2

.

By decrementing by f in - 0.0001 steps we arrived at the most reasonable results and limited the

computational costs.

We based our experiments and observations presented in this section on the RiskMetrics daily

horizon estimates. In the fourth quarter 1995 edition of the RiskMetrics Monitor, we outlined

an alternative volatility forecasting method for the RiskMetrics monthly horizon estimates.

Denoted as alternative RiskMetrics (or Alt R in the charts and tables), this new method allow

us to apply the same techniques to adjust the monthly correlation estimates as well.

New York Morgan Guaranty Trust Company RiskMetrics Monitor

January 23, 1996 Risk Management Services page 22

Jacques Longerstaey (1-212) 648-4936

riskmetrics@jpmorgan.com

New York Morgan Guaranty Trust Company RiskMetrics Monitor

January 23, 1996 Risk Management Services page 23

Jacques Longerstaey (1-212) 648-4936

riskmetrics@jpmorgan.com

New York Morgan Guaranty Trust Company RiskMetrics Monitor

January 23, 1996 Risk Management Services page 24

Jacques Longerstaey (1-212) 648-4936

riskmetrics@jpmorgan.com

Introduction to RiskMetrics: A eight-page document For more information about RiskMetrics, please contact

which broadly describes the RiskMetrics methodology the author or any person listed below:

for measuring market risks. North America

New York Jacques Longerstaey (1-212) 648-4936

RiskMetrics Directory: Available exclusively on-line, a

longerstaey_j@jpmorgan.com

list of consulting practices and software products that

incorporate the RiskMetrics methodology and datasets. Chicago Michael Moore (1-312) 541-3511

moore_mike@jpmorgan.com

RiskMetrics Monitor: A quarterly publication which Mexico Beatrice Sibblies (52-5) 540-9554

discusses broad market risk management issues, statistical sibblies_beatrice@jpmorgan.com

questions as well as new software products built by third- San Francisco Paul Schoffelen (1-415) 954-3240

party vendors to support RiskMetrics. schoffelen_paul@jpmorgan.com

Toronto Dawn Desjardins (1-416) 981-9264

RiskMetrics datasets: Two sets of daily estimates of

desjardins_dawn@jpmorgan.com

future volatilities and correlations of approximately 450

rates and prices each a total of 100,000+ datapoints. One Europe

set is to compute short-term trading risks, the other for London Benny Cheung (44-71) 325-4210

medium-term investment risks. Datasets currently cover cheung_benny@jpmorgan.com

Foreign Exchange, Government Bond, Swap, and Equity

Brussels Geert Ceuppens (32-2) 508-8522

markets in up to 22 currencies. Eleven commodities are also

ceuppens_g@jpmorgan.com

included. A RiskMetrics Regulatory dataset which

incorporates the latest recommendations from the Basel Paris Ciaran OHagan (33-1) 4015-4058

Committee on the use of internal models to measure market ohagan_c@jpmorgan.com

risk is now available. Frankfurt Robert Bierich (49-69) 712-4331

bierich_r@jpmorgan.com

Bond Index Cash Flow Maps: A monthly insert into the Milan Roberto Fumagalli (39-2) 774-4230

Government Bond Index Monitor outlining synthetic cash fumagalli_r@jpmorgan.com

flow maps of J.P. Morgans bond indices.

Madrid Jose Luis Albert (34-1) 577-1722

albert_j-l@jpmorgan.com

Trouble accessing the Internet? If you encounter any

difficulties in either accessing the J.P. Morgan home page Zurich Viktor Tschirky (41-1) 206-8686

on http://www.jpmorgan.com or downloading the tschirky_v@jpmorgan.com

RiskMetrics data files, you can call 1-800-JPM-INET in Asia

the United States.

Singapore Michael Wilson (65) 326-9901

wilson_mike@jpmorgan.com

Tokyo Yuri Nagai (81-3) 5573-1168

nagai_y@jpmorgan.com

Hong Kong Martin Matsui (85-2) 973-5480

matsui_martin@jpmorgan.com

Australia Debra Robertson (61-2) 551-6200

robertson_d@jpmorgan.com

RiskMetrics is based on, but differs significantly from, the market risk management systems developed by J.P. Morgan for its own use. J.P. Morgan does not

warrant any results obtained from use of the RiskMetrics data, methodology, documentation or any information derived from the data (collectively the Data)

and does not guarantee its sequence, timeliness, accuracy, completeness or continued availability. The Data is calculated on the basis of historical observations

and should not be relied upon to predict future market movements. The Data is meant to be used with systems developed by third parties. J.P. Morgan does not

guarantee the accuracy or quality of such systems.

Additional information is available upon request. Information herein is believed to be reliable but J.P. Morgan does not warrant its completeness or accuracy. Opinions and estimates constitute our judgment and

are subject to change without notice. Past performance is not indicative of future results. This material is not intended as an offer or solicitation for the purchase or sale of any financial instrument. J.P. Morgan may

hold a position or act as market maker in the financial instruments of any issuer discussed herein or act as advisor or lender to such issuer. Morgan Guaranty Trust Company is a member of FDIC and SFA. Copyright

1996 J.P. Morgan & Co. Incorporated. Clients should contact analysts at and execute transactions through a J.P. Morgan entity in their home jurisdiction unless governing law permits otherwise.

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