Var For Quadratic Portfolio'S With Generalized Laplace Distributed Returns
AbstractThis paper is concerned with the e±cient analytical computation of Value-at-Risk (VaR) for portfolios of assets depending quadratically on a large number of joint risk factors that follows a multivariate Generalized Laplace Distribution. Our approach is designed to supplement the usual Monte-Carlo techniques, by providing an asymptotic formula for the quadratic portfolio's cumulative distribution function, together with explicit error-estimates. The application of these methods is demonstrated using some financial applications examples.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by LAMETA, Universtiy of Montpellier in its series Working Papers with number 09-06.
Length: 37 pages
Date of creation: Jun 2009
Date of revision: Jun 2009
Contact details of provider:
Postal: Avenue Raymond Dugrand, CS 79606, 34960 Montpellier Cedex 2
Web page: http://www.lameta.univ-montp1.fr/
More information through EDIRC
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-06-10 (All new papers)
- NEP-ECM-2009-06-10 (Econometrics)
- NEP-RMG-2009-06-10 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jules Sadefo Kamdem, 2005. "Value-At-Risk And Expected Shortfall For Linear Portfolios With Elliptically Distributed Risk Factors," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(05), pages 537-551.
- Sadefo Kamdem, J. & Genz, A., 2008. "Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options," Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3389-3407, March.
- Paul Glasserman & Philip Heidelberger & Perwez Shahabuddin, 2002. "Portfolio Value-at-Risk with Heavy-Tailed Risk Factors," Mathematical Finance, Wiley Blackwell, vol. 12(3), pages 239-269.
- Jules SADEFO KAMDEM, 2004. "Value-at-Risk and Expected Shortfall for Quadratic Portfolio of Securities with Mixture of Elliptic Distribution Risk Factors," Computing in Economics and Finance 2004 12, Society for Computational Economics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Patricia Modat).
If references are entirely missing, you can add them using this form.