VAR FOR QUADRATIC PORTFOLIO'S WITH GENERALIZED LAPLACE DISTRIBUTED RETURNS

Raymond Brummelhuis (1) , Jules Sadefo Kamdem (1)

1 LMR - Laboratoire de Mathématiques de Reims

This paper is concerned with the efficient numerical computation of static Value-at-Risk (VaR) for portfolios of assets depending quadratically on a large number of risk factors that follow the generalized Laplace distribution.

Mots clés: Asymptotic analysis; Quadratic VaR; Large portfolios; Generalized Laplace distribution; Monte Carlo silmulation

Domaines: Probabilités [math.PR]; Equations aux dérivées partielles [math.AP]; Physique mathématique [math-ph]; Analyse numérique [math.NA]

Raymond Brummelhuis, Jules Sadefo Kamdem. VAR FOR QUADRATIC PORTFOLIO'S WITH GENERALIZED LAPLACE DISTRIBUTED RETURNS. AN AMAMMEF CONFERENCE 2006: Numerical methods in finance, February 1-3, 2006. INRIA, 2006, ROCQUENCOURT, France. ⟨hal-00016629⟩