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Market Value-at-Risk: ROM Simulation, Cornish-Fisher VaR and Chebyshev-Markov VaR Bound
Company: British Journal of Mathematics & Computer Science
Company Url: Click here to open
Year Of Publication: 2014
Month Of Publication: May
Resource Link: Click here to open
Pages: 1797-1814
Download Count: 0
View Count: 1061
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 5-26-2014
Publisher: Administrator
Summary
We apply random orthogonal matrix (ROM) simulation, to compute VaR of a market risk portfolio. Typically, the covariance matrix has a large influence on ROM VaR. But VaR, being a lower quantile of the portfolio return distribution, is also much impacted by the skewness and kurtosis of the risk factor returns. With ROM VaR it is possible to stress test risk factors under adverse market conditions by targeting other sample moments that are consistent with periods of financial crisis. In a simulation study, we integrate ROM VaR into other methods that take into account skewness and kurtosis, namely the Cornish-Fisher VaR approximation and a robust approximation to the Chebyshev-Markov VaR upper bound in Hürlimann [7].
(volume 4, number 13)
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Author(s)
Hurlimann, Werner Sign in to follow this author
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