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Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements

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Author Info
Jean-David FERMANIAN () (CDC Ixis Capital Markets and CREST)
Olivier SCAILLET () (HEC Genève and FAME, Université de Genève)

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Abstract

In this paper, we characterize explicitly the first derivative of the Value at Risk and the Expected Shortfall with respect to portfolio allocation when netting between positions exists. As a particular case, we examine a simple Gaussian example in order to illustrate the impact of netting agreements in credit risk management. We further provide nonpara-metric estimators for sensitivities and derive their asymptotic distributions. An empirical application on a typical banking portfolio is finally provided.

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Publisher Info
Paper provided by International Center for Financial Asset Management and Engineering in its series FAME Research Paper Series with number rp89.

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Date of creation: Jul 2003
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Handle: RePEc:fam:rpseri:rp89

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Related research
Keywords: Value at Risk; Expected Shortfall; Sensitivity; Risk Management; Credit Risk; Netting.;

Find related papers by JEL classification:
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Mortgages
G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies

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This page was last updated on 2009-11-19.

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