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Harmonic Analysis, Quadratic Forms and Asymptotic Expansions of Risk Measures
Company: Applied Mathematical Sciences
Company Url: Click here to open
Year Of Publication: 2008
Month Of Publication: January
Resource Link: Click here to open
Pages: 1023-1052
Download Count: 0
View Count: 1638
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 6-9-2012
Publisher: Administrator
In this paper we develop asymptotic expansions of Conditional Value at Risk (CVaR), one of the most widely used risk measures in the ?nancial industry, based on harmonic analysis and the method of stationary phase. We consider a random variable Z, representing the net income on a portfolio of instruments exposed to market risk, modeled as a quadratic form. We assume the vector of changes in the risk factors is a multivariate normal variable. The expansions developed are explicit and the coe?cients appearing in the expansions depend, in particular, on a set of eigenvalues appearing in a diagonalization procedure for the quadratic form. Our results represent a contribution to risk management as well as to probability theory.
(volume 2, number 21)
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Nystrom, Kaj Sign in to follow this author
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