A new Fourier transform algorithm for value-at-risk
In this paper, we introduce a new Fourier method for computing value-at-risk for a portfolio with derivatives and for return models with fat tails. The new method does not assume that the characteristic function for the return model is known explicitly. We define a class of admissible models for returns and present statistical evidence that supports our approach. We discuss the details of the algorithm. The paper concludes with two applications of value-at-risk. Both examples illustrate the effect that changes in the models for portfolio value and for risk factor returns have on the value-at-risk surface.
Year of publication: |
2004
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Authors: | Albanese, Claudio ; Jackson, Ken ; Wiberg, Petter |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 4.2004, 3, p. 328-338
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Publisher: |
Taylor & Francis Journals |
Saved in:
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