IDEAS home Printed from https://ideas.repec.org/a/eee/ejores/v150y2003i3p529-545.html
   My bibliography  Save this article

The practice of Delta-Gamma VaR: Implementing the quadratic portfolio model

Author

Listed:
  • Castellacci, Giuseppe
  • Siclari, Michael J.

Abstract

No abstract is available for this item.

Suggested Citation

  • Castellacci, Giuseppe & Siclari, Michael J., 2003. "The practice of Delta-Gamma VaR: Implementing the quadratic portfolio model," European Journal of Operational Research, Elsevier, vol. 150(3), pages 529-545, November.
    • Handle: RePEc:eee:ejores:v:150:y:2003:i:3:p:529-545
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0377-2217(02)00782-8
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Jun Pan & Darrell Duffie, 2001. "Analytical value-at-risk with jumps and credit risk," Finance and Stochastics, Springer, vol. 5(2), pages 155-180.
    2. Mark Britten-Jones & Stephen M. Schaefer, 1999. "Non-Linear Value-at-Risk," Review of Finance, European Finance Association, vol. 2(2), pages 161-187.
    3. Matthew Pritsker, 1997. "Evaluating Value at Risk Methodologies: Accuracy versus Computational Time," Journal of Financial Services Research, Springer;Western Finance Association, vol. 12(2), pages 201-242, October.
    4. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Cui, Xueting & Zhu, Shushang & Sun, Xiaoling & Li, Duan, 2013. "Nonlinear portfolio selection using approximate parametric Value-at-Risk," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 2124-2139.
    2. Joëts, Marc, 2015. "Heterogeneous beliefs, regret, and uncertainty: The role of speculation in energy price dynamics," European Journal of Operational Research, Elsevier, vol. 247(1), pages 204-215.
    3. Ruili Sun & Tiefeng Ma & Shuangzhe Liu & Milind Sathye, 2019. "Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review," JRFM, MDPI, vol. 12(1), pages 1-34, March.
    4. Huang, Xiaoxia, 2008. "Portfolio selection with a new definition of risk," European Journal of Operational Research, Elsevier, vol. 186(1), pages 351-357, April.
    5. Jinping Zhang & Keming Zhang, 2022. "Portfolio selection models based on interval-valued conditional value at risk (ICVaR) and empirical analysis," Papers 2201.02987, arXiv.org, revised Jul 2022.
    6. Wong, Man Hong & Zhang, Shuzhong, 2014. "On distributional robust probability functions and their computations," European Journal of Operational Research, Elsevier, vol. 233(1), pages 23-33.
    7. Ortiz-Gracia, Luis, 2020. "Expected shortfall computation with multiple control variates," Applied Mathematics and Computation, Elsevier, vol. 373(C).
    8. Chen, Rongda & Yu, Lean, 2013. "A novel nonlinear value-at-risk method for modeling risk of option portfolio with multivariate mixture of normal distributions," Economic Modelling, Elsevier, vol. 35(C), pages 796-804.
    9. Massol, Olivier & Banal-Estañol, Albert, 2014. "Export diversification through resource-based industrialization: The case of natural gas," European Journal of Operational Research, Elsevier, vol. 237(3), pages 1067-1082.
    10. Wang, Xiaoyu & Xie, Dejun & Jiang, Jingjing & Wu, Xiaoxia & He, Jia, 2017. "Value-at-Risk estimation with stochastic interest rate models for option-bond portfolios," Finance Research Letters, Elsevier, vol. 21(C), pages 10-20.
    11. Popovic, Ray & Goldsman, David, 2012. "On valuing and hedging European options when volatility is estimated directly," European Journal of Operational Research, Elsevier, vol. 218(1), pages 124-131.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy, 2022. "Proper use of the modified Sharpe ratios in performance measurement: rearranging the Cornish Fisher expansion," Annals of Operations Research, Springer, vol. 313(2), pages 691-712, June.
    2. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524.
    3. Manon Costa & Sébastien Gadat, 2021. "Non-asymptotic study of a recursive superquantile estimation algorithm," Post-Print hal-03610477, HAL.
    4. Gadat, Sébastien & Costa, Manon, 2020. "Non asymptotic controls on a stochastic algorithm for superquantile approximation," TSE Working Papers 20-1149, Toulouse School of Economics (TSE).
    5. John Cotter & Kevin Dowd, 2010. "Estimating financial risk measures for futures positions: A nonparametric approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 30(7), pages 689-703, July.
    6. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy, 2018. "Ex-ante real estate Value at Risk calculation method," Annals of Operations Research, Springer, vol. 262(2), pages 257-285, March.
    7. Traian A. Pirvu & Gordan Zitkovic, 2007. "Maximizing the Growth Rate under Risk Constraints," Papers 0706.0480, arXiv.org.
    8. Mark Broadie & Yiping Du & Ciamac C. Moallemi, 2015. "Risk Estimation via Regression," Operations Research, INFORMS, vol. 63(5), pages 1077-1097, October.
    9. J. Christopher Westland, 2015. "Economics of eBay’s buyer protection plan," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 1(1), pages 1-20, December.
    10. Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
    11. Steven Kou & Xianhua Peng, 2016. "On the Measurement of Economic Tail Risk," Operations Research, INFORMS, vol. 64(5), pages 1056-1072, October.
    12. Hussein Khraibani & Bilal Nehme & Olivier Strauss, 2018. "Interval Estimation of Value-at-Risk Based on Nonparametric Models," Econometrics, MDPI, vol. 6(4), pages 1-30, December.
    13. Thai Nguyen, 2016. "Optimal investment and consumption with downside risk constraint in jump-diffusion models," Papers 1604.05584, arXiv.org.
    14. Dominique Guegan & Bertrand K. Hassani & Kehan Li, 2016. "Measuring risks in the extreme tail: The extreme VaR and its confidence interval," Documents de travail du Centre d'Economie de la Sorbonne 16034rr, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jan 2017.
    15. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Donald Keenan, 2015. "Cornish-Fisher Expansion for Commercial Real Estate Value at Risk," The Journal of Real Estate Finance and Economics, Springer, vol. 50(4), pages 439-464, May.
    16. Ales Kresta & Tomas Tichy, 2012. "International Equity Portfolio Risk Modeling: The Case of the NIG Model and Ordinary Copula Functions," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(2), pages 141-161, May.
    17. Peter Christoffersen, 2004. "Backtesting Value-at-Risk: A Duration-Based Approach," Journal of Financial Econometrics, Oxford University Press, vol. 2(1), pages 84-108.
    18. John Board & Charles Sutcliffe & William T. Ziemba, 2003. "Applying Operations Research Techniques to Financial Markets," Interfaces, INFORMS, vol. 33(2), pages 12-24, April.
    19. Ortiz-Gracia, Luis, 2020. "Expected shortfall computation with multiple control variates," Applied Mathematics and Computation, Elsevier, vol. 373(C).
    20. Taras Bodnar & Mathias Lindholm & Vilhelm Niklasson & Erik Thors'en, 2020. "Bayesian Quantile-Based Portfolio Selection," Papers 2012.01819, arXiv.org.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ejores:v:150:y:2003:i:3:p:529-545. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/eor .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.