A semi-analytical method for VaR and credit exposure analysis

DOI10.1007/s10479-006-0123-7zbMath1132.91461OpenAlexW2029508581MaRDI QIDQ2480235

Ahmed Nagi, Alexander Kreinin, Ben De Prisco, Ian Iscoe

Publication date: 31 March 2008

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-006-0123-7

zbMATH Keywords

large deviationsvalue-at-riskportfolio distributionportfolio compressioncredit exposure

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic programming (90C15) Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• RiskMetrics

Cites Work

• Large portfolio losses
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