Gourieroux, C.; Laurent, J.P.; Scaillet, O. - 2000
The aim of this paper is to analyze the sensitivity of Value at Risk (VaR) with respect to portfolio allocation. We … derive analytical expresssions for the first and second derivatives of the Value at Risk, and explain how they can be used to … simplify statistical inference and to perform a loval analysis of the Value at Risk. An empirical illustration of such an …