UNSPECIFIED. (2004) A new Fourier transform algorithm for value-at-risk. QUANTITATIVE FINANCE, 4 (3). pp. 328-338. ISSN 1469-7688

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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
Date:	June 2004
Volume:	4
Number:	3
Number of Pages:	11
Page Range:	pp. 328-338
Identification Number:	10.1088/1469-7688/7/3/008
Publication Status:	Published
URI:	http://wrap.warwick.ac.uk/id/eprint/8188

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