A semi-analytical method for VaR and credit exposure analysis

Annals of Operations Research

Volumn 152, Issue 1, 2007, Pages 23-47

  De Prisco, Ben ^a   Iscoe, Ian ^a   Kreinin, Alexander ^a   Nagi, Ahmed ^b  

^a Algorithmics Inc   (Canada)

^b CITIGROUP   (United States)

Author keywords

Credit exposure; Large deviations; Portfolio compression; Portfolio distribution; Value at Risk

Indexed keywords

EID: 33847403990     PISSN: 02545330     EISSN: 15729338     Source Type: Journal    
DOI: 10.1007/s10479-006-0123-7     Document Type: Article

References (14)

1. Brandimarte, P. (2002). Numerical Methods in Finance-A Matlab Based Introduction. New York: J. Wiley & Sons.
2. De, R. and T. Tamarchenko. (2002a). "A New and Accurate Method to Calculate Value at Risk and Other Tail Measures." Working paper.
3. De, R. and T. Tamarchenko. (2002b). "VaR You Can Rely On." Risk Magazine, 15(8), 77-81.
4. Dembo, A., J.-D. Deuschel, and D. Duffie. (2004). "Large Portfolio Losses." Finance and Stochastics, 8, 3-16.
5. Dembo, A. and O. Zeitouni. (1998). Large Deviation Techniques and Applications, 2nd edition. New York: Sprinher-Verlag.
6. Dembo, R., A. Kreinin, and D. Rosen. (2001). "Computer-Implemented Method and Apparatus for Portfolio Compression." US patent number: 6,278,981.
7. Iscoe, I. and A. Kreinin. (1996). "Statistical Analysis of Monte Carlo VaR Estimation." Technical report, Algorithmics Inc.
8. Iscoe, I. and A. Kreinin. (1997). "Analytical Estimations of Value-at-Risk for Fixed Income Securities." Technical report, Algorithmics Inc.
9. Jäckel, P. (2002). Monte Carlo Methods in Finance. New York: John Wiley and Sons, LTD.
10. Jorion, P. (2001). Value at Risk: The New Benchmark for Managing Financial Risk, 2nd edition. New York: McGraw-Hill.
11. Kiureghian, A. (1998). "Multiple Design Points in First and Second-Order Reliability." Structural Safety, 20(1), 37-49.
12. Madsen, H., S. Krenk, and N. Lind. (1986). Methods of Structural Safety. New Jersey: Prentice Hall Inc.
13. RiskMetrics. (1995). RiskMetrics™-Technical Document. J.P Morgan Guaranty Trust Company, 3rd edition. http://www.riskmetrics.com/techdoc. html.
14. Sobol, I. (1998). "On Quasi-Monte Carlo Integration." Mathematics and Computers in Simulation, 47, 103-112.