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Estimation Of Value At Risk And Ruin Probability For Diffusion Processes With Jumps

Author

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  • Laurent Denis
  • Begoña Fernández
  • Ana Meda

Abstract

In this paper we give upper bounds for both the Value at Risk VaRα, 0

Suggested Citation

  • Laurent Denis & Begoña Fernández & Ana Meda, 2009. "Estimation Of Value At Risk And Ruin Probability For Diffusion Processes With Jumps," Mathematical Finance, Wiley Blackwell, vol. 19(2), pages 281-302, April.
    • Handle: RePEc:bla:mathfi:v:19:y:2009:i:2:p:281-302
    DOI: 10.1111/j.1467-9965.2009.00367.x
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    References listed on IDEAS

    as
    1. Davis, Richard A., 1982. "Maximum and minimum of one-dimensional diffusions," Stochastic Processes and their Applications, Elsevier, vol. 13(1), pages 1-9, July.
    2. Denis Talay & Ziyu Zheng, 2003. "Quantiles of the Euler Scheme for Diffusion Processes and Financial Applications," Mathematical Finance, Wiley Blackwell, vol. 13(1), pages 187-199, January.
    3. Longin, Francois M., 2000. "From value at risk to stress testing: The extreme value approach," Journal of Banking & Finance, Elsevier, vol. 24(7), pages 1097-1130, July.
    Full references (including those not matched with items on IDEAS)

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