Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach

DOI10.1016/j.amc.2014.06.110zbMath1335.91107OpenAlexW3126144252MaRDI QIDQ278288

Luis Ortiz-Gracia, Cornelis W. Oosterlee

Publication date: 2 May 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://ir.cwi.nl/pub/22544

zbMATH Keywords

Fourier transformdelta-gamma approximationvalue-at-riskmarket riskHaar waveletsexpected shortfall

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (11)

Nonparametric density estimation and bandwidth selection with B-spline bases: a novel Galerkin method ⋮ On a transform method for the efficient computation of conditional V\@R (and V\@R) with application to loss models with jumps and stochastic volatility ⋮ Bayesian portfolio selection using VaR and CVaR ⋮ Computation of market risk measures with stochastic liquidity horizon ⋮ A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options ⋮ A test on the location of the tangency portfolio on the set of feasible portfolios ⋮ On the data-driven COS method ⋮ Analytical approximation for distorted expectations ⋮ A data-driven framework for consistent financial valuation and risk measurement ⋮ Expected shortfall computation with multiple control variates ⋮ Computation of expected shortfall by fast detection of worst scenarios

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