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A new Fourier transform algorithm for value-at-risk

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UNSPECIFIED (2004) A new Fourier transform algorithm for value-at-risk. QUANTITATIVE FINANCE, 4 (3). pp. 328-338. doi:10.1088/1469-7688/7/3/008

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Official URL: http://dx.doi.org/10.1088/1469-7688/7/3/008

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Abstract

In this paper, we introduce a new Fourier method for computing value-at-risk for a portfolio with derivatives and for return models with fat tails. The new method does not assume that the characteristic function for the return model is known explicitly. We define a class of admissible models for returns and present statistical evidence that supports our approach. We discuss the details of the algorithm. The paper concludes with two applications of value-at-risk. Both examples illustrate the effect that changes in the models for portfolio value and for risk factor returns have on the value-at-risk surface.

Item Type: Journal Article
Subjects: H Social Sciences > HG Finance
H Social Sciences > HC Economic History and Conditions
Q Science > QA Mathematics
H Social Sciences
Journal or Publication Title: QUANTITATIVE FINANCE
Publisher: IOP PUBLISHING LTD
ISSN: 1469-7688
Official Date: June 2004
Dates:
DateEvent
June 2004UNSPECIFIED
Volume: 4
Number: 3
Number of Pages: 11
Page Range: pp. 328-338
DOI: 10.1088/1469-7688/7/3/008
Publication Status: Published

Data sourced from Thomson Reuters' Web of Knowledge

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