Document Search
Add To My Bookshelf Sign in or Register Save And Annotate
Keywords:

harmonic analysis sign in to follow this
quadratic forms sign in to follow this
stationary phase sign in to follow this
asymptotic expansion sign in to follow this
Categories:

VaR Methods sign in to follow this
--Evaluation/Comparison sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
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: 1232
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 6-9-2012
Publisher: Administrator
Summary
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)
This document may be downloaded without charge from m-hikari.com.
Author(s)
Nystrom, Kaj Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile