Audrino, Francesco; Barone-Adesi, Giovanni - In: Computational Management Science 2 (2005) 2, pp. 87-106
It is difficult to compute Value-at-Risk (VaR) using multivariate models able to take into account the dependence structure between large numbers of assets and being still computationally feasible. A possible procedure is based on functional gradient descent (FGD) estimation for the volatility...