Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements
In this paper, we characterize explicitly the first derivative of the Value at Risk and theExpected Shortfall with respect to portfolio allocation when netting between positions exists.As a particular case, we examine a simple Gaussian example in order to illustrate theimpact of netting agreements in credit risk management. Collateral issues are also dealtwith. For practical purposes we further provide nonparametric estimators for sensitivitiesand derive their asymptotic distributions. An empirical application on a typical bankingportfolio is finally provided.
Year of publication: |
2003
|
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Authors: | Fermanian, Jean-David ; Scaillet, Olivier |
Institutions: | Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES) |
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