We construct “Hybrid Value at Risk” (HYVAR) that is an arbitrary mixture of Historical VAR and Monte Carlo VAR. The procedure is capable of retaining both the correlation matrix of the original time series and also jumps/‘fat tails'. For this reason HYVAR provides more realistic scenarios,...

Calculating risk measures can be extremely time consuming for large portfolios. Monte Carlo and historical value at risk and expected shortfall calculations can require repricing 1,000s of positions 1,000s of times. This makes risk calculations extremely challenging when the pricing functions...

We present a new technique for obtaining a positive definite (PD) correlation matrix from a stressed target matrix within the context of Advanced Stressed Value at Risk, (cf. Dash ). The technique uses the spherical decomposition and a “nearest neighbor” technique. The advantage is that...