Comparisons of cashflow maps for value-at-risk

This article is devoted to the study cashflow maps used in the computation of value-at-risk (VaR). Properties and characteristics of the approaches found in the literature are presented and two new approaches are introduced. The goal of this paper is to study the quality of these maps. This is done by calculating the risk induced by the difference between the mapped cashflows and the original one.

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Year of publication:	2003-10-07
Authors:	Marc, Henrard
Institutions:	EconWPA
Subject:	Value-at-risk \| mapping \| cashflows

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Extent:	application/pdf
Series:	Risk and Insurance.
Type of publication:	Book / Working Paper
Notes:	Type of Document - Tex; prepared on Linux; to print on HP;
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005124988