[学科前沿] Crash Coefficients: A Faster and More Reliable Way to Compute Parametric VaR [推广有奖]

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zhangqiping428 发表于 2014-2-26 10:45:33 |只看作者 |坛友微信交流群|倒序 |AI写论文

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Crash Coefficients: A Faster and More Reliable Way to Compute Parametric VaR
Michele Zarpellon
Veneto Banca
23th January 2014

Abstract
The purpose of this work is to combine classical parametric VaR methodologies with Crash Coe￠ cients. Parametric VaR is the Örst application of Value at Risk concept as thought by J.P Morgan RiskMetrics and, despite its áaws, is still widely used, also in its Beta VaR methodology. Here we are going to exploit Paul Wilmottís idea of CrashMetrics and to substitute Betas in classical parametric VaR with Crash Coe￠ -cients in order to obtain a more reliable VaR approach in crash conditions. We show that this correction could be really useful when we need huge amounts of VaR estimations for multitudes of simple retail portfolios.

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