Sadefo

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Information about Sadefo
Business-Finance

Published on July 9, 2007

Author: FordeS

Source: authorstream.com

VaR for Quadratic Portfolio’s with Generalized Laplace Distributed Returns:  VaR for Quadratic Portfolio’s with Generalized Laplace Distributed Returns SADEFO KAMDEM Jules Laboratoire de Mathématique (UMR 6056 Reims), France. Slide2:  Slide3:  Slide4:  Slide5:  Proposal Derive rigorous analytic upper/lower bounds for Quadratic Value-at-Risk of multi-asset portfolios. Sharp bounded for distribution function of the quadratic form of GLD random vectors. Critique Everything in finance computable by (straightforward or clever) MC, so why bother ? Proposal Critique Defense::  Defense: Computational speed Theoretical insight: parameter dependence (portfolio loads, stress testing) effects of parameter uncertainty on statistical parameters Checks on MC computations Mathematically interesting problem Usual P&L approximation:  Usual Pandamp;L approximation Slide8:  Slide9:  Sharp Rate of Convergence Slide10:  Slide11:  Slide12:  Slide13:  Slide14:  Slide15:  Slide16:  Slide17:  Slide18:  Slide19:  Slide20:  Slide21:  Slide22:  Slide23:  Slide24:  Slide25:  Slide26:  Slide27:  Slide28:  Slide29:  Slide30:  Slide31:  Slide32:  Slide33:  Slide34:  Slide35: 

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