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Comparisons of cashflow maps for value-at-risk

Marc Henrard ()

Risk and Insurance from University Library of Munich, Germany

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)
Date: 2003-10-07
New Economics Papers: this item is included in nep-fin and nep-rmg
Note: Type of Document - Tex; prepared on Linux; to print on HP;
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Handle: RePEc:wpa:wuwpri:0310001