Value at Risk (VaR) Approximation Methods

Some References: Revisions to the BASEL II Market Risk Framework, BASEL Committee on Banking Supervision, 2009. http://wymbis.org/publ/bcbs158.pdf • William Fallon, Calculating Value-at-Risk , 1996. • Linda Allen, Understanding Market. Credit 8, Operational Risk, Chapter 3: Putting VaR to Work . 2004. • John C. Hull, Options, Futures, and Other Derivatives . Chapter 20: Value at Risk, 2009. • Darrell Duffle and Jun Pan. ‘An Overview of Value at Risk,’ 1997. • Manuel Amman and Christian Reich, “VaR for Nonlinear Financial Instruments — Linear Approximations or Full Monte-Carlo,,” 2001. • Michael S. Gibson and Matthew Pritsker, “Improving Grid-Based Methods for Estimating Value at Risk of Fixed-Income Portfolios.’ 2000. • Fundamental Review of the Trading Book, BASEL Committee on Banking Supervision. 2012. http://www.bis.org/publ/bcbs219.pdf
Barns. D.. T Lehnert & C.P.Wolff (2002). An Evaluation Framework for Alternative VaR Models. EFA Berlin Meetings Discussion Paper.
Chen. X.H. & Yang, 1-1.9 (2003). Value-at-Rislc. Measures with Fat Tails and Relative Performance Evaluation, Management Sciences in China. 17:1, 39-46
Christofferson, P (1998). Evaluating Interval Forecasts. International Economic Review, 39:841-62.
Christofferson. R & D. Pelletier, (2004). Backtesting Value-at-Risk: A Duration-Based Approach. Journal of Financial Econometrics, 2:1.84-108, Oxford University Press.
Don Bredin. & H. Stuart (2004). FOREX Risk: Measurement and Evaluation Using Valueat-Risk. Journal of Business Finance & Accounting, 31: 1389-1417.

Sample Solution

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