Analytical VaR for international portfolios with common jumps

DOI10.1016/J.CAMWA.2011.08.018MaRDI QIDQ662223zbMATH OpenOpenAlexFDO

Authors Fen-Ying Chen

Publication date 21 February 2012

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.camwa.2011.08.018

zbMATH Keywords

backtestingexchange rate riskinternational portfoliosjump-diffusionout-of-sample fitting

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Approximating Large Diversified Portfolios
• Asymptotic dynamics and value-at-risk of large diversified portfolios in a jump-diffusion market
• Option pricing when underlying stock returns are discontinuous

Cited in

(5)

• A new portfolio selection model with interval-typed random variables and the empirical analysis
• A mean-variance portfolio selection model with interval-valued possibility measures
• Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis
• The International CAPM and a Wavelet-Based Decomposition of Value at Risk
• VaR: exchange rate risk and jump risk

Describes a project that uses

Uses Software

• R

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