Comparisons of cashflow maps for value-at-risk

Marc Henrard ()

Risk and Insurance from EconWPA

Abstract: This article is devoted to the study cashflow maps used in the computation of value-at-risk (VaR). Properties and characteristics of the approaches found in the literature are presented and two new approaches are introduced. The goal of this paper is to study the quality of these maps. This is done by calculating the risk induced by the difference between the mapped cashflows and the original one.

Keywords: Value-at-risk; mapping; cashflows (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin and nep-rmg
Date: Written
Note: Type of Document - Tex; prepared on Linux; to print on HP;

Downloads: (external link)
http://129.3.20.41/eps/ri/papers/0310/0310001.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpri:0310001

Access Statistics for this paper

More papers in Risk and Insurance from EconWPA
Series data maintained by EconWPA ().