A semi-analytical method for VaR and credit exposure analysis

Ben De Prisco, Ian Iscoe, Alexander Kreinin () and Ahmed Nagi

Annals of Operations Research, 2007, vol. 152, issue 1, 23-47

Abstract: In this paper, we discuss new analytical methods for computing Value-at-Risk (VaR) and a credit exposure profile. Using a Monte Carlo simulation approach as a benchmark, we find that the analytical methods are more accurate than RiskMetrics delta VaR, and are more efficient than Monte Carlo, for the case of fixed income securities. However the accuracy of the method deteriorates when applied to a portfolio of barrier options. Copyright Springer Science+Business Media, LLC 2007

Keywords: Portfolio distribution; Value-at-Risk; Credit exposure; Large deviations; Portfolio compression (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/s10479-006-0123-7

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