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Comparisons of cashflow maps for value-at-risk

Author

Listed:
  • Henrard Marc

    (Bank for International Settlements)

Abstract

This article is devoted to the study cashflow maps used in the computation of value-at-risk (VaR). Properties and characteristics of the approaches found in the literature are presented and two new approaches are introduced. The goal of this paper is to study the quality of these maps. This is done by calculating the risk induced by the difference between the mapped cashflows and the original one.

Suggested Citation

  • Henrard Marc, 2003. "Comparisons of cashflow maps for value-at-risk," Risk and Insurance 0310001, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpri:0310001
    Note: Type of Document - Tex; prepared on Linux; to print on HP;
    as

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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/ri/papers/0310/0310001.pdf
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    More about this item

    Keywords

    Value-at-risk; mapping; cashflows;
    All these keywords.

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