Gouriéroux, Christian; Laurent, J.P.; Scaillet, Olivier - Institut de Recherche Économique et Sociale (IRES), … - 1999
The aim of this paper is to analyze the sensitivity of Value at Risk (VaR) with respect to portfolio allocation. We … derive analytical expressions for the first and second derivatives of the Value at Risk, and explain how they can be used to … simplify statistical inference and to perform a local analysis of the Value at Risk. An empirical illustration of such an …