ALBANESE, CLAUDIO; JACKSON, KEN; WIBERG, PETTER - In: The Journal of Risk Finance 3 (2002) 4, pp. 41-53
Regulators require banks to employ value‐at‐risk (VaR) to estimate the exposure of their trading portfolios to market risk, in order to establish capital requirements. However, portfolio‐level VaR analysis is a high‐dimensional problem and hence computationally intensive. This article...