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Calculating VaR through Quadratic Approximations
Sep 1, 2000
VaR calculations often require the valuation of complex instruments over a large set of scenarios. As complex derivatives use computationally expensive methods for pricing purposes, full valuation of these instruments on every scenario is not a viable solution. In this paper, we describe a method to approximate expensive pricing functions that allows for fast and accurate VaR calculations.
This paper also appeared in the Journal of Risk Finance, Winter 2001
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