An empirical evaluation of value at risk by scenario simulation / Peter A. Abken.

Format:

Book

Government document

Author/Creator:

Abken, Peter A. (Peter Albert), 1957-

Contributor:

United States. Office of the Comptroller of the Currency

Series:

Economic and policy analysis working paper (2000) ; 2000-3.

[Economics working paper ; 2000-3]

Language:

English

Subjects (All):

Financial futures--Evaluation.

Financial futures.

Risk management--Evaluation.

Risk management.

Derivative securities.

Physical Description:

1 online resource (46 pages)

Place of Publication:

[Washington, D.C.] : U.S. Office of the Comptroller of the Currency, [2000]

Summary:

"Scenario simulation was proposed by Jamshidian and Zhu (1997) as a method to separate computationally intensive portfolio revaluations from the simulation step in VaR by Monte Carlo. For multicurrency interest rate derivatives portfolios examined in this paper, the relative performance of scenario simulation is erratic when compared with standard Monte Carlo results. Although by design the discrete distributions used in scenario simulation converge to their continuous distributions, convergence appears to be slow, with irregular oscillations that depend on portfolio characteristics and the correlation structure of the risk factors. Periodic validation of scenario-simulated VaR results by cross-checking with other methods is advisable"--Office of the Comptroller of the Currency web site

Notes:

Title from title screen (viewed on January 30, 2004).

"March 2000."

Series statement from pre-page.

Includes bibliographical references.

Electronic reproduction. [Place of publication not identified]: HathiTrust Digital Library. 2023.

Other Format:

Abken, Peter A. (Peter Albert), 1957- Empirical evaluation of value at risk by scenario simulation

OCLC:

54357052

Access Restriction:

Use copy Restrictions unspecified