| Abstrak/Abstract |
Measuring risk of a portfolio comprising of multi assets such as option and stock by Value at Risk (VaR) will become
more challenging because unlike stock price, value of an option has a nonlinear dependence on market risk factor. This paper
considered to utilize Delta Normal and Delta Gamma Normal as a linear approach of the factor determining price of the assets. The
methods use consecutively the expansion of first and second-order Taylor Series to approximate the profit loss, which is prominent
to develop VaR of a multi-asset portfolio. As an application of these methods, this paper analyzed a portfolio comprising of one
stock (Exxon Mobile Corporation (XOM)) and two options from two different enterprises, namely JD.com, Inc. (JD), and Eni. S.p.
A (E). According to Kupiec Backtesting, it can be concluded that in this case, VaR Delta Normal and VaR Delta Gamma Normal
Models provide a good risk measurement at some different confidence levels (90, 95, and 99 percent). |
