Worse fluctuation method for fast Value-at-Risk estimates

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We show how one can actually take advantage of the strongly non-Gaussian nature of the fluctuations of financial assets to simplify the calculation of the Value-at-Risk of complex non linear portfolios. The resulting equations are not hard to solve numerically, and should allow fast VaR and $Δ$VaR estimates of large portfolios, where {\it by construction} the influence of rare events is taken into account reliably. Our method can be seen as a correctly probabilized `scenario' calculation (or `stress-testing').
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Condensed Matter

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http://salesiana.dossiersoluciones.com/handle/123456789/29723

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/cond-mat/9909245
 http://arxiv.org/abs/cond-mat/9909245

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arXiv