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

stress sign in to follow this
testing sign in to follow this
CVaR sign in to follow this
conditional sign in to follow this
excess sign in to follow this
parametric sign in to follow this
Categories:

Stress Testing sign in to follow this
--Methods sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
Stress Testing for VaR and CVaR
Company: Charles University
Year Of Publication: 2004
Month Of Publication: December
Pages: 21
Download Count: 1034
View Count:
Comment Num: 0
Language: EN
Source: article
Who Can Read: Free
Date: 10-11-2005
Publisher: Administrator
Summary
Practical use of the contamination technique in stress testing for risk measuresValue at Risk (VaR) and Conditional Value at Risk (CVaR) and for optimizationproblems with these risk criteria is discussed. Whereas for CVaRits application is straightforward, the presence of the simple chance constraintin the definition of VaR requires that various distributional and structuralproperties are fulfilled, namely, for the unperturbed problem. These requirementsrule out direct applications of the contamination technique in the caseof discrete distributions, which includes the empirical VaR. On the otherhand, in the case of a normal distribution and parametric VaR one mayexploit stability results valid for quadratic programs.
This document is published in Quantitative Finance (volume 7, number 4) 2007, 411-421.
http://dx.doi.org/10.1080/14697680600973323
Author(s)
Dupacova, Jitka Sign in to follow this author
Polivka, Jan 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