How to choose the return model for market risk? Getting towards a right magnitude of stressed VaR

DOI10.1080/14697688.2019.1579924zbMath1420.91529OpenAlexW2768433836MaRDI QIDQ5234365

Mark Lichtner

Publication date: 26 September 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2019.1579924

zbMATH Keywords

interest ratesgeometric calculusmodel risknormalabsolutelocal volatilityvalue at riskrelativelognormaldisplacedfundamental review of the trading booknature of interest ratesreturn modellingrisk factor returnsstressed value at risk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

• Computing the distribution of quadratic forms: further comparisons between the Liu-Tang-Zhang approximation and exact methods
• Computing the distribution of quadratic forms in normal variables
• The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship

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