English, Article, Journal or magazine article edition: VAR FOR QUADRATIC PORTFOLIO'S WITH GENERALIZED LAPLACE DISTRIBUTED RETURNS Raymond BRUMMELHUIS; Jules Sadefo-Kamdem

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Bookmark: http://trove.nla.gov.au/version/47527
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • VAR FOR QUADRATIC PORTFOLIO'S WITH GENERALIZED LAPLACE DISTRIBUTED RETURNS
Author
  • Raymond BRUMMELHUIS
  • Jules Sadefo-Kamdem
Physical Description
  • preprint
Notes
  • This paper is concerned with the e±cient analytical computation of Value-at-Risk (VaR) for portfolios of assets depending quadratically on a large number of joint risk factors that follows a multivariate Generalized Laplace Distribution. Our approach is designed to supplement the usual Monte-Carlo techniques, by providing an asymptotic formula for the quadratic portfolio's cumulative distribution function, together with explicit error-estimates. The application of these methods is demonstrated using some financial applications examples.
  • RePEc:lam:wpaper:09-06
Language
  • English
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