Dimension reduction in the computation of value-at-risk

Journal of Risk Finance

Volumn 3, Issue 4, 2002, Pages 41-53

  Albanese, Claudio ^a   Jackson, Ken ^a   Wiberg, Petter ^a  

^a UNIVERSITY OF TORONTO   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 3142629306     PISSN: 15265943     EISSN: 09657967     Source Type: Journal    
DOI: 10.1108/eb043499     Document Type: Article

References (20)

1. Albanese, C, K.Jackson, and P. Wiberg. “Hedging with Valueat-Risk." Working paper, University of Toronto, 2001.
2. Basle Committee on Banking Supervision. “Amendment to the Capital Accord to Incorporate Market Risks." Bank for International Settlements, 1996.
3. Beder, T.S. “VAR: Seductive but Dangerous." Financial Analysts Journal, 51 (1995), pp. 12-24.
4. Campbell, J.Y., A.W. Lo, and A.C. MacKinlay. The Econometrics of Financial Markets. Princeton University Press, 1997.
5. Duffie, D., and J. Pan. “An Overview of Value at Risk." The Journal of Derivatives, 4 (1997), pp. 7-49.
6. Duffie, D., and J. Pan. “Analytic Value-at-Risk with Jumps and Credit Risk." Finance and Stochastics, 5 (2001), pp. 155-180.
7. El-Jahel, L., W. Perraudin, and P. Sellin. “Value at Risk for Derivatives." The Journal of Derivatives, 6 (1999), pp. 7-26.
8. Embrechts, P., A. McNeil, and D. Straumann. “Correlation: Pitfalls and Alternatives." Risk, 12 (1999).
9. Feuerverger, A., and A.C.M. Wong. “Computation of Valueat-Risk for Nonlinear Portfolios." Journal of Risk, 3 (2000), pp. 37-55.
10. Golub, G.H., and C.F. Van Loan. Matrix Computations, 2nd ed. Johns Hopkins University Press, 1989.
11. Hull, J.C. Options, Futures and Other Derivatives, 4th ed. Prentice Hall, 2000.
12. Jackson, P., D.J. Maude, and W. Perraudin. “Bank Capital and Value at Risk." The Journal of Derivatives, 4 (1997), pp. 73-90.
13. Jorion, P. “Risk2: Measuring the Risk in Value at Risk." Financial Analysts Journal, 52 (1996), pp. 47-56.
14. Kreinin, A., L. Merkoulovitch, D. Rosen, and M. Zerbs. “Principal Component Analysis in Quasi Monte Carlo Simulation." Algo Research Quarterly, 1 (1998), pp. 21-30.
15. Mina, J., and A. Ulmer. “Delta-Gamma Four Ways." Risk-Metrics Group, 1999.
16. J.P. Morgan/Reuters. “RiskMetrics, Technical Document," 4th ed. J.P.Morgan, 1996.
17. Reimers, M., and M. Zerbs. “Dimension Reduction by Asset Blocks." Algo Research Quarterly, 1 (1998), pp. 43-58.
18. Stambaugh, F. “Risk and Value at Risk." European Management Journal, 14 (1996), pp. 612-621.
19. Stewart, G.W., and J.-G. Sun. Matrix Perturbation Theory. Academic Press, 1990.
20. Wilmott, P. Paul Wilmott on Quantitative Finance. John Wiley & Sons, 2000.