BRUMMELHUIS, Raymond; Sadefo-Kamdem, Jules - LAboratoire Montpelliérain d'Économie Théorique et … - 2009
This paper is concerned with the e±cient analytical computation of Value-at-Risk (VaR) for portfolios of assets depending quadratically on a large number of joint risk factors that follows a multivariate Generalized Laplace Distribution. Our approach is designed to supplement the usual...