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