N ov 2 00 8 Value-at-Risk Computation by Fourier Inversion with Explicit Error Bounds

Abstract

The value-at-risk of a delta-gamma approximated derivatives portfolio can be computed by numerical integration of the characteristic function. However, while the choice of parameters in any numerical integration scheme is paramount, in practice it often relies on ad hoc procedures of trial and error. For normal and multivariate t-distributed risk factors… (More)

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