35
Views
0
CrossRef citations to date
0
Altmetric
Research Article

Computation of VaR for portfolios in intensity models

&
Pages 5910-5923 | Received 21 Jan 2022, Accepted 10 Jul 2023, Published online: 25 Jul 2023

References

  • Aı¨t-Sahalia, Y., and J. Yu. 2006. Saddlepoint approximations for continuous-time Markov processes. Journal of Econometrics 134 (2):507–51. doi: 10.1016/j.jeconom.2005.07.004.
  • Applebaum, D. 2009. Lévy processes and stochastic calculus. 2nd ed. Cambridge: Cambridge University Press.
  • Azizpour, S., K. Giesecke, and G. Schwenkler. 2018. Exploring the sources of default clustering. Journal of Financial Economics 129 (1):154–83. doi: 10.1016/j.jfineco.2018.04.008.
  • Barone-Adesi, G., K. Giannopoulos, and L. Vosper. 1999. VaR without correlations for portfolios of derivative securities. Journal of Futures Markets 19 (5):583–602. doi: 10.1002/(SICI)1096-9934(199908)19:5¡583::AID-FUT5¿3.0.CO;2-S.
  • Bielecki, T. R., M. Jeanblanc, and M. Rutkowski. 2011. Hedging of a credit default swaption in the CIR default intensity model. Finance and Stochastics 15 (3):541–72. doi: 10.1007/s00780-010-0143-7.
  • Brigo, D., and A. Alfonsi. 2005. Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model. Finance and Stochastics 9 (1):29–42. doi: 10.1007/s00780-004-0131-x.
  • Carr, P., and D. Madan. 2009. Saddlepoint methods for option pricing. The Journal of Computational Finance 13 (1):49–61. doi: 10.21314/JCF.2009.198.
  • Dav́e, D. R., and G. Stahl. 1998. On the accuracy of VaR estimates based on the variance-covariance approach. In Risk Measurement, Econometrics and Neural Networks: Selected Articles of the 6th Econometric-Workshop in Karlsruhe, Germany. Heidelberg: Physica-Verlag HD, 189–232.
  • Ding, X., K. Giesecke, and P. I. Tomecek. 2009. Time-changed birth processes and multiname credit derivatives. Operations Research 57 (4):990–1005. doi: 10.1287/opre.1080.0652.
  • Duffie, D., and N. Gârleanu. 2001. Risk and valuation of collateralized debt obligations. Financial Analysts Journal 57 (1):41–59. doi: 10.2469/faj.v57.n1.2418.
  • Dunkel, J., and S. Weber. 2007. Efficient Monte Carlo methods for convex risk measures in portfolio credit risk models. In Proceedings of the 2007 Winter Simulation Conference, IEEE, 411–21. doi: 10.1109/WSC.2007.4419692.
  • Dupačová, J., and J. PolÍvka. 2007. Stress testing for VaR and CVaR. Quantitative Finance 7 (4):411–21. doi: 10.1080/14697680600973323.
  • Errais, E., K. Giesecke, and L. R. Goldberg. 2010. Affine point processes and portfolio credit risk. SIAM Journal on Financial Mathematics 1 (1):642–65. doi: 10.1137/090771272.
  • Fong, G., and O. A. Vasicek. 1997. A multidimensional framework for risk analysis. Financial Analysts Journal 53 (4):51–7. doi: 10.2469/faj.v53.n4.2099.
  • Giesecke, K., B. Kim, and S. Zhu. 2011. Monte Carlo algorithms for default timing problems. Management Science 57 (12):2115–29. doi: 10.1287/mnsc.1110.1411.
  • Giesecke, K., J. Kim, and H. Takada. 2012. Analytical approximations for loan and credit derivatives portfolios. Working paper. Stanford University, available at SSRN: https://ssrn.com/abstract=2047080.
  • Giesecke, K., K. Spiliopoulos, and R. B. Sowers. 2013. Default clustering in large portfolios: Typical events. Annals of Applied Probability 23:348–85.
  • Giesecke, K., K. Spiliopoulos, R. B. Sowers, and J. A. Sirignano. 2015. Large portfolio asymptotics for loss from default. Mathematical Finance 25 (1):77–114. doi: 10.1111/mafi.12011.
  • Guo, X., R. A. Jarrow, and Y. Zeng. 2009. Modeling the recovery rate in a reduced form model. Mathematical Finance 19 (1):73–97. doi: 10.1111/j.1467-9965.2008.00358.x.
  • Huang, X., C. Oosterlee, and H. Van Der Weide. 2007. Higher-order saddlepoint approximations in the Vasicek portfolio credit loss model. The Journal of Computational Finance 11 (1):93–113. doi: 10.21314/JCF.2007.165.
  • Jensen, J. 1995. Saddlepoint approximations. Oxford: Oxford University Press.
  • Karlin, S., and H. M. Taylor. 1995. A second course in stochastic processes, New York: Academic Press.
  • Khindanova, I. N., and S. T. Rachev. 2000. Value at risk: Recent advances. Journal of Risk Analysis 2:45–76.
  • Kreinin, A., L. Merkoulovitch, D. Rosen, and M. Zerbs. 1998. Measuring portfolio risk using quasi Monte Carlo methods. ALGO Research Quarterly 1:17–25.
  • Kuester, K., S. Mittnik, and M. S. Paolella. 2005. Value-at-risk prediction: A comparison of alternative strategies. Journal of Financial Econometrics 4 (1):53–89. doi: 10.1093/jjfinec/nbj002.
  • Lando, D. 2004. Credit risk modeling: Theory and applications, Princeton, NJ: Princeton University Press.
  • Nataraj, K., M. Gupta, S. Kanwar, and R. Agarwal. 2010. Improvising portfolio value at risk using filtered historical simulation. Working paper, Birla Institute of Management Technology, available at SSRN: https://ssrn.com/abstract=1537033.
  • Papageorgiou, A., and S. H. Paskov. 1999. Deterministic simulation for risk management. The Journal of Portfolio Management 25 (5):122–7. doi: 10.3905/jpm.1999.319698.
  • Protter, P. 2004. Stochastic integration and differential equations. New York: Springer-Verlag.
  • Wood, A. T. A., J. G. Booth, and R. W. Butler. 1993. Saddlepoint approximations to the CDF of some statistics with nonnormal limit distributions. Journal of the American Statistical Association 88 (422):680–6. doi: 10.1080/01621459.1993.10476322.
  • Yang, J., T. R. Hurd, and X. Zhang. 2006. Saddlepoint approximation method for pricing CDOs. The Journal of Computational Finance 10 (1):1–20. doi: 10.21314/JCF.2006.147.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.