Dimension Reduction in the Computation of Value‐at‐Risk

Regulators require banks to employ value‐at‐risk (VaR) to estimate the exposure of their trading portfolios to market risk, in order to establish capital requirements. However, portfolio‐level VaR analysis is a high‐dimensional problem and hence computationally intensive. This article presents two new portfolio‐based approaches to reducing the dimensionality of the VaR analysis.

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Year of publication:	2002
Authors:	ALBANESE, CLAUDIO ; JACKSON, KEN ; WIBERG, PETTER
Published in:	The Journal of Risk Finance. - MCB UP Ltd, ISSN 2331-2947, ZDB-ID 2048922-5. - Vol. 3.2002, 4, p. 41-53
Publisher:	MCB UP Ltd

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Type of publication:	Article
Type of publication (narrower categories):	review-article
Language:	English
Other identifiers:	10.1108/eb043499 [DOI]
Source:	Other ZBW resources

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