Comparisons of cashflow maps for value-at-risk

This file is part of IDEAS, which uses RePEc data

Comparisons of cashflow maps for value-at-risk

Author Info

Henrard Marc (Bank for International Settlements)

Additional information is available for the following registered author(s):

Marc Henrard

Abstract

This article is devoted to the study cashflow maps used in the computation of value-at-risk (VaR). Properties and characteristics of the approaches found in the literature are presented and two new approaches are introduced. The goal of this paper is to study the quality of these maps. This is done by calculating the risk induced by the difference between the mapped cashflows and the original one.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. 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.

Publisher Info
Paper provided by EconWPA in its series Risk and Insurance with number 0310001.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: 07 Oct 2003
Date of revision:
Handle: RePEc:wpa:wuwpri:0310001

Note: Type of Document - Tex; prepared on Linux; to print on HP;
Contact details of provider:
Web page: http://129.3.20.41

For technical questions regarding this item, or to correct its listing, contact: (EconWPA).

This paper has been announced in the following NEP Reports:

NEP-ALL-2003-10-12 (All new papers)
NEP-FIN-2003-10-12 (Finance)
NEP-RMG-2003-10-12 (Risk Management)

Statistics

Access and download statistics

Did you know? RePEc also has a blog.

This page was last updated on 2009-12-9.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.