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INICIO | 24 de mayo de 2024
  

Harmonic analysis in value at risk calculations.

Título inglés Harmonic analysis in value at risk calculations.
Título español Análisis armónico en cálculos de valor en riesgo.
Autor/es Albanese, Claudio ; Seco, Luis
Organización Dep. Math. Univ. Toronto, Toronto (Ontario), Canadá
Revista 0213-2230
Publicación 2001, 17 (2): 195-219, 5 Ref.
Tipo de documento articulo
Idioma Inglés
Resumen inglés Value at Risk is a measure of risk exposure of a portfolio and is defined as the maximum possible loss in a certain time frame, typically 1-20 days, and within a certain confidence, typically 95%. Full valuation of a portfolio under a large number of scenarios is a lengthy process. To speed it up, one can make use of the total delta vector and the total gamma matrix of a portfolio and compute a Gaussian integral over a region bounded by a quadric. We use methods from harmonic analysis to find approximate analytic formulas for the Value at Risk as a function of time and of the confidence level. In this framework, the calculation is reduced to the problem of evaluating linear algebra invariants such as traces of products of matrices, which arise from a Feynmann expansion. The use of Fourier transforms is crucial to resum the expansions and to obtain formulas that smoothly interpolate between low and large confidence levels, as well as between short and long time horizons.
Clasificación UNESCO 120213
Palabras clave español Distribución de Gauss ; Formas cuadráticas ; Transformada de Fourier ; Cuádricas ; Desarrollo en serie de funciones ; Análisis armónico ; Matemática financiera
Código MathReviews MR1891197
Código Z-Math Zbl 1094.91024
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Equipo DML-E
Instituto de Ciencias Matemáticas (ICMAT - CSIC)
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