Portfolio Value-at-Risk with Heavy-Tailed Risk Factors

DOI10.1111/1467-9965.00141zbMATH Open1147.91325OpenAlexW3125310193MaRDI QIDQ4795995FDOQ4795995

Authors: Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin 

Publication date: 13 March 2003

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

Full work available at URL: https://doi.org/10.1111/1467-9965.00141

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zbMATH Keywords

samplingMonte Carlo simulationdelta-gamma approximationvalue-at risk

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Numerical methods (including Monte Carlo methods) (91G60) Characterization and structure theory of statistical distributions (62E10) Credit risk (91G40)

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• Exchange rate returns, `news', and risk premia
• Generalized hyperbolic diffusion processes with applications in finance
• Strong approximation of very weak Bernoulli processes
• Book Review: Stochastic calculus for finance
• Stationary waiting time derivatives

Cited In (72)

• A simulation environment for discontinuous portfolio value processes
• Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling
• Simulating risk measures via asymptotic expansions for relative errors
• Moment based approaches to Value the Risk of contingent claim portfolios
• Executives' perceived environmental uncertainty shortly after 9/11
• Asset allocation when guarding against catastrophic losses: a comparison between the structure variable and joint probability methods
• Measuring the risk of a non-linear portfolio with fat-tailed risk factors through a probability conserving transformation
• A new variance reduction technique for estimating value-at-risk
• Sequential design and spatial modeling for portfolio tail risk measurement
• The expected shortfall of quadratic portfolios with heavy-tailed risk factors
• An efficient method of evaluating portfolio risk and return
• Portfolio diversification and value at risk under thick-tailedness†
• Estimation of extreme quantiles in a simulation model
• Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach
• Black-Litterman model for continuous distributions
• Density approximations and VaR computation for compound Poisson-lognormal distributions
• Risk management for linear and nonlinear assets: a bootstrap method with importance resampling to evaluate value-at-risk
• Rare-event probability estimation with conditional Monte Carlo
• Monte Carlo methods for value-at-risk and conditional value-at-risk: a review
• Accounting for risk of non linear portfolios. A novel Fourier approach
• Multivariate elliptical truncated moments
• Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk
• 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
• Modeling the yearly value-at-risk for operational risk in Chinese commercial banks
• Analytical value-at-risk with jumps and credit risk
• Efficient randomized quasi-Monte Carlo methods for portfolio market risk
• The measurement of market risk. Modelling of risk factors, asset pricing, and approximation of portfolio distributions
• A calibrated scenario generation model for heavy-tailed risk factors
• Computation of market risk measures with stochastic liquidity horizon
• Bayesian value-at-risk backtesting: the case of annuity pricing
• Efficient simulation of value at risk with heavy-tailed risk factors
• Asymptotic distribution of the sample average value-at-risk in the case of heavy-tailed returns
• Asymptotic behavior of the cross-dependence measures for bidimensional AR(1) model with \(\alpha \)-stable noise
• On kernel-based estimation of distribution function and its quantiles based on ranked set sampling
• Directional entropy and tail uncertainty, with applications to financial hazard
• Multivariate heavy-tailed models for value-at-risk estimation
• MLMC for nested expectations
• Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios
• VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS
• C-NORTA: a rejection procedure for sampling from the tail of bivariate NORTA distributions
• Portfolio value-at-risk and expected-shortfall using an efficient simulation approach based on Gaussian mixture model
• Quantile approximations in auto-regressive portfolio models
• Portfolio optimization by using MeanSharp-βVaR and Multi Objective MeanSharp-βVaR models
• Efficient risk simulations for linear asset portfolios in the \(t\)-copula model
• A new Fourier transform algorithm for value-at-risk
• \(\varDelta \)-VaR and\(\varDelta \)-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC
• Normex, a new method for evaluating the distribution of aggregated heavy tailed risks
• Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options
• NORTA for portfolio credit risk
• A Truncated Bivariate t Distribution
• On the controversy over tailweight of distributions.
• Online Risk Monitoring Using Offline Simulation
• The convergence rate and asymptotic distribution of the bootstrap quantile variance estimator for importance sampling
• Reliable quantification and efficient estimation of credit risk
• Optimally stratified importance sampling for portfolio risk with multiple loss thresholds
• Single-index importance sampling with stratification
• Moderate deviation principles for importance sampling estimators of risk measures
• Importance sampling for integrated market and credit portfolio models
• Computing tails of compound distributions using direct numerical integration
• Multivariate Mixtures of Normal Distributions: Properties, Random Vector Generation, Fitting, and as Models of Market Daily Changes
• Estimating value at risk with semiparametric support vector quantile regression
• A generalized Fourier transform approach to risk measures
• Opportunities and restrictions on the use of zone RANS-IDDES approach to a fan noise calculation
• Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models
• A modified network DEA model for bank efficiency analysis considering risk factors
• Importance sampling for a simple Markovian intensity model using subsolutions
• Computational aspects of portfolio risk estimation in volatile markets: a survey
• A simulation-based method for estimating systemic risk measures
• Algorithmic Applications in Management
• Multivariate modeling of precipitation-induced home insurance risks using data depth
• Efficient exponential tilting with applications
• Variance reduction for risk measures with importance sampling in nested simulation

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