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Computing the Value at Risk of a Portfolio: Academic Literature and Practioners' Response.
Year Of Publication: 2012
Month Of Publication: May
Pages: 73
Download Count: 5
View Count: 1551
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 6-9-2012
Publisher: Administrator
Summary
Our discussions with practitioners from various horizons – in banks or insurance companies, both French and international, or in charge of the regulation – allowed us to shed light on common practices. First, methods coming from statistics such as bootstrapping or EVT are rarely used and could be implemented easily on top of what is used today. Similarly, it seems that variance reduction techniques are not systematically used by companies who choose to rely on Monte-Carlo simulations. This is however difficult to adapt since variance reduction techniques should be coded within the algorithms and not on top of them. Another important point of our discussions is that academics are often developing methods that are not scalable to real data (with sometimes more than 1000 risk factors) or difficult to apply in practice, non-gaussian risk factors being the main examples.
Author(s)
Guéant, Olivier Sign in to follow this author
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