Non-Linear Value-at-Risk *

DOI10.1023/A:1009779322802MaRDI QIDQ4264093zbMATH OpenOpenAlexFDO

Authors Mark Britten-Jones, Stephen M. Schaefer

Publication date 11 November 1999

Published in Review of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1009779322802

zbMATH Keywords

asset valuesnonlinear assetsportfoliosquadratic approximationrisk factors

Mathematics Subject Classification ID

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Cited in

(30)

• Moment based approaches to Value the Risk of contingent claim portfolios
• The practice of Delta--Gamma VaR: Implementing the quadratic portfolio model.
• Multifractal value at risk model
• Nonparametric risk management and implied risk aversion
• Expected shortfall computation with multiple control variates
• A non-linear dynamic model of the variance risk premium
• On the data-driven COS method
• On Bayesian value at risk: from linear to non-linear portfolios
• On a nonlinear risk analysis for stock market indexes
• A semi-analytical method for VaR and credit exposure analysis
• Portfolio value-at-risk and expected-shortfall using an efficient simulation approach based on Gaussian mixture model
• Nonlinear risk of linear instruments
• Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach
• Risk estimation via regression
• Term structure of risk under alternative econometric specifications
• A generalized Fourier transform approach to risk measures
• Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling
• Kernel smoothing for nested estimation with application to portfolio risk measurement
• A new Fourier transform algorithm for value-at-risk
• Value at risk linear exponent (VARLINEX) forecasts
• The expected shortfall of quadratic portfolios with heavy-tailed risk factors
• Efficient option risk measurement with reduced model risk
• Simulation-based Value-at-Risk for nonlinear portfolios
• Small perturbations with large effects on value-at-risk
• Analytical value-at-risk with jumps and credit risk
• The measurement of market risk. Modelling of risk factors, asset pricing, and approximation of portfolio distributions
• Exposure valuations and their capital requirements
• Systemic risk of optioned portfolio: controllability and optimization
• Accounting for risk of non linear portfolios. A novel Fourier approach
• On measuring nonlinear risk with scarce observations

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