Worse fluctuation method for fast Value-at-Risk estimates
| dc.creator | Bouchaud, Jean-Philippe | |
| dc.creator | Potters, Marc | |
| dc.date | 1999-09-16 | |
| dc.date.accessioned | 2026-07-07T03:14:35Z | |
| dc.date.available | 2026-07-07T03:14:35Z | |
| dc.description | 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'). | |
| dc.description | LaTeX no figures | |
| dc.identifier | https://arxiv.org/abs/cond-mat/9909245 | |
| dc.identifier | http://arxiv.org/abs/cond-mat/9909245 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/29723 | |
| dc.subject | Condensed Matter | |
| dc.title | Worse fluctuation method for fast Value-at-Risk estimates | |
| dc.type | text |