VAR FOR QUADRATIC PORTFOLIO'S WITH GENERALIZED LAPLACE DISTRIBUTED RETURNS

Raymond Brummelhuis and Jules Sadefo-Kamdem
Authors registered in the RePEc Author Service: Jules SADEFO KAMDEM

Working Papers from LAMETA, Universtiy of Montpellier

Abstract: 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.

Pages: 37 pages
Date: 2009-06, Revised 2009-06
New Economics Papers: this item is included in nep-ecm and nep-rmg
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Citations: View citations in EconPapers (1)

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