A semi-analytical method for VaR and credit exposure analysis

In this paper, we discuss new analytical methods for computing Value-at-Risk (VaR)andacreditexposureprofile.UsingaMonteCarlosimulationapproachasabenchmark, we find that the analytical methods are more accurate than RiskMetrics delta VaR, and are more efficient than Monte Carlo, for the case of fixed income securities. However the accuracy of the method deteriorates when applied to a portfolio of barrier options. Keywords Portfolio distribution . Value-at-Risk . Credit exposure . Large deviations . Portfolio compression

• Type: Journal
• Year: 2007
• Where: ANOR
• Authors: Ben De Prisco, Ian Iscoe, Alexander Y. Kreinin, Ahmed Nagi
• Keywords: Analytical Methods, ANOR 2007, Keywords Portfolio Distribution, Riskmetrics Delta Var