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Comparisons of cashflow maps for value-at-risk


  • Henrard Marc

    (Bank for International Settlements)


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.

Suggested Citation

  • Henrard Marc, 2003. "Comparisons of cashflow maps for value-at-risk," Risk and Insurance 0310001, EconWPA.
  • Handle: RePEc:wpa:wuwpri:0310001
    Note: Type of Document - Tex; prepared on Linux; to print on HP;

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    References listed on IDEAS

    1. Frittelli, Marco & Rosazza Gianin, Emanuela, 2002. "Putting order in risk measures," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1473-1486, July.
    2. Hans Föllmer & Alexander Schied, 2002. "Convex measures of risk and trading constraints," Finance and Stochastics, Springer, vol. 6(4), pages 429-447.
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    Value-at-risk; mapping; cashflows;

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