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A new Fourier transform algorithm for value-at-risk.
- Source :
-
Quantitative Finance . Jun2004, Vol. 4 Issue 3, p328-338. 11p. 1 Chart, 6 Graphs. - Publication Year :
- 2004
-
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. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 14697688
- Volume :
- 4
- Issue :
- 3
- Database :
- Academic Search Index
- Journal :
- Quantitative Finance
- Publication Type :
- Academic Journal
- Accession number :
- 20348923
- Full Text :
- https://doi.org/10.1088/1469-7688/4/3/008