KiHoon Hong is an assistant professor in finance at Hongik University, College of Business. He is a CFA and FRM charter holder, a member of CFA Korea Society, Global Association of Risk Professionals and Quantitative Finance Research Centre. His previous experience includes Financial Stability Division at Bank of Canada, Market Risk Department at Bank of Montreal and a Postdoctoral Research Fellow at University of Technology Sydney. KiHoon’s research interest is in quantitative finance, financial risk management, digital currency and arts finance. Much of his research is motivated by practical issues and his industry experiences.
This paper not only provides a theoretical model for the value-at-risk of active and passive trading strategies but also discusses the substantial implications relevant to risk management.
The author of this paper develops an analytical form of stressed value-at-risk (analytical SVaR), using conditional value-at-risk (CoVaR).
In this paper, the authors investigate the four most commonly used risk measures – return volatility, beta, value-at-risk and stressed value-at-risk – of a TSM trading strategy.