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PORTFOLIO RISK ANALYSIS: Cracking VAR with kernels - Value-at-risk analysis has become a key measure of portfolio risk in recent years, but how can we calculate the contribution of some portfolio component? The authors show how kernel estimators can be used to provide a fast, accurate and robust estimate of component VAR in a simulation framework.

Epperlein, Eduardo; Smillie, Alan - In: Risk : managing risk in the world's financial markets 19 (2006) 8, pp. 70-75

Persistent link: https://www.econbiz.de/10007301213

Regulation - A cross-section for CVA - The European Banking Authority has proposed a way for banks to calculate a credit valuation adjustment capital charge when credit default swap spreads are absent or illiquid — But it does not solve the problem, Nomura argues.

Epperlein, Eduardo; Chourdakis, Kyriakos; Jeannin, Marc; … - In: Risk : managing risk in the world's financial markets 26 (2013) 3, pp. 20-21

Persistent link: https://www.econbiz.de/10010095999

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