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Var For Quadratic Portfolio'S With Generalized Laplace Distributed Returns

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Author Info
Raymond BRUMMELHUIS
Jules Sadefo-Kamdem

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Abstract

This 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.

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File URL: http://www.lameta.univ-montp1.fr/Fr/Productions/Documents/DR2009-06.pdf
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Paper provided by LAMETA, Universtiy of Montpellier in its series Working Papers with number 09-06.

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Length: 37 pages
Date of creation: Jun 2009
Date of revision: Jun 2009
Handle: RePEc:lam:wpaper:09-06

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Web page: http://www.lameta.univ-montp1.fr/
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  1. 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. [Downloadable!] (restricted)
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  2. 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. [Downloadable!] (restricted)
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This page was last updated on 2009-12-2.

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