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» How to Calculate the Future Value of an Investment
Yesterday at 11:46 am by Ethical Trader

» මුගාබේ ඉවත් වීමත් සමඟ 'හරාරේ' සැණකෙළි සිරි ගනියි
Yesterday at 11:34 am by Ethical Trader

» විසිපස් වසරක් ගෙවුනත් ඉල්ලීම් ඉටුවී නැහැ - නිදහස් මාධ්‍ය ව්‍යාපාරය
Yesterday at 11:30 am by Ethical Trader

» Dividend Announcement
Yesterday at 11:21 am by Ethical Trader

» කොටස් වෙළෙඳපොළේ ලැයිස්තුගත කෙරෙන අලුත්ම සමාගම – LVL Energy Fund Limited
Mon Nov 20, 2017 7:42 pm by nihal123

» අගමැති රනිල් බැඳුම්කර කොමිසම හමුවේ පැවසුවේ මොනවාද?
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» Obituary Notice.
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» උතුරු කොරියාවේ "සබ්මැරීන බැලිස්ටික් මිසයිල වැඩසටහනකුත්"
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» Plantation sector updates
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» Soldiers 'take over Zimbabwe broadcaster'
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Tue Nov 14, 2017 5:26 pm by Ethical Trader

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» ඉරාන, ඉරාක භූමිකම්පාවෙන් 200 කට වැඩි පිරිසක් මරුට
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» Flying is the Safest mode of Transport
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» In the Meantime, Within Our Shores !
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» වංචා දුෂණ නඩු කඩිනම් කරන්න විශේෂ මහාධිකරණයක්
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» LIOC.N0000 (Lanka IOC PLC)
Wed Nov 08, 2017 4:48 pm by Ethical Trader

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» 10 Things to Remember Before You Take Things Personally
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Tue Nov 07, 2017 5:30 pm by Ethical Trader

» Beware !
Mon Nov 06, 2017 10:56 am by CK

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» How to Find Undervalued Stocks and Turn a Large Profit
Sat Nov 04, 2017 11:24 am by Ethical Trader

» ඒකාබද්ධ විපක්ෂ කණ්ඩායමෙන් ශ්‍රීලනිපට කොන්දේසි හතක්
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» Taste of Asia
Thu Nov 02, 2017 12:27 pm by Ethical Trader

» නිව් යෝර්ක් ප්‍රහාරය : අවම වශයෙන් 8 දෙනෙක් මරුට
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» NTB.N0000 (NATIONS TRUST BANK PLC)
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» Laughter the Best Medicine
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» VPEL.N0000 (VALLIBEL POWER ERATHNA PLC )
Wed Nov 01, 2017 8:15 am by yellow knife

» TJL.N0000 (Textured Jersey Lanka PLC.)
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» TPL.N0000 (TALAWAKALE PLANTATIONS )
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» BFL.N0000 (Bairaha Farms PLC)
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» LLUB & BFL
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» HUNA.N0000
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» Sri Lanka's got Talent
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» Govt.electrocutes CEB
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Mon Oct 30, 2017 7:46 pm by nihal123

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» COMB.N0000 ( COMMERCIAL BANK OF CEYLON PLC )
Mon Oct 30, 2017 4:53 pm by Rana

» ධම්මික පෙරමුණට එයි
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» කොටස් මිල ඉහළ යාමෙන් ඇමේසන් ලොක්කා ලොව අංක එකේ සල්ලිකාරයා වුණේ මෙහෙමයි
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TYPES OF PORTFOLIO ANALYSIS

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TYPES OF PORTFOLIO ANALYSIS

Post by nihal123 on Wed Aug 05, 2015 10:16 pm

TYPES OF PORTFOLIO ANALYSIS
Portfolio level analysis is an important part of managing a derivatives portfolio. The common types of portfolio anlaysis are Total Value, Aggregated Cash Flows, Risk Sensitivity, Stress testing, and Value-at-Risk.

Total Value
Total Value is one of the simplest types of portfolio aggregation. Using this analysis, calculating the value of the portfolio simply requires iterating through the positions within the portfolio, valuing each one, and summing them. In other words the value of the portfolio, f(P), equals the sum of the individual trades, f(Ti).

Portfolio P image

However, if f(Ti) represents the result of a particular analysis applied to an individual trade, then it is not usually true that the result for the portfolio, f(P), equals the sum of f(Ti).

Aggregated cash flows
The future cash flows for a portfolio sorted in chronological order are sometimes required. This aggregation is not difficult if the cash flows for each trade are available; it involves marshaling the data and applying a sort algorithm.

Both total value and aggregated cash flow are relatively simple analyses and do not require sophisticated calculations at the portfolio level, as long as they are carried out at the trade level. But in other types of analysis, the aggregations are not so simple, and most require information about the risk factors that are shared by multiple positions within the portfolio.

Risk Sensitivity
This analysis is the rate of change of the value of the portfolio with respect to the market data. Being able to calculate this first order sensitivity is a vital component of any risk system. For example it can be used to calculate DV01 which is the sensitivity of the portfolio value to a small shift in interest rates - a parallel shift of the whole yield curve. It can also be used to calculate hedge factors which are the positions in liquid vanilla instruments that would be required to add to the portfolio to provide an instantaneous hedge of all market and credit risk.

Stress Testing
This analysis involves revaluing the portfolio under a number of different scenarios for the market data to quantify the exposure to more extreme market movements than are captured using first order risk sensitivity.

Credit Value Adjustment and Potential Future Exposure
These are calculations performed on a set of trades with the same counterparty - CVA is an adjustment to the value of a portfolio to reflect the credit risk of the counterparty; PFE is a calculation of the maximum possible loss that would be realised if the counterparty were to default, for a given confidence level, such as 95%.

Value at Risk (VaR)
This is the maximum possible loss over a given time horizon that is suffered as a result of market fluctuations again for a given confidence level. It is a measure of market risk whereas PFE is a measure of counterparty credit risk.

Download the free white paper: Perfoming Effective Portfolio Risk Management and learn how to perform efficient, industry standard portfolio level analysis for even the most complex, sizable, or dynamic portfolios.

http://www.fincad.com/resources/resource-library/wiki/types-portfolio-analysis
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Re: TYPES OF PORTFOLIO ANALYSIS

Post by chutiputha on Wed Aug 05, 2015 10:41 pm

Worth Ah..Thank U Nihal Ayya
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