Elliptic Distributed Risk Factors in Quadratic Portfolio of Securities: Revision history

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24 December 2023

  • curprev 14:4014:40, 24 December 2023‎ SatoshiNakamoto talk contribs‎ 2,440 bytes +2,440‎ Created page with "Title: Elliptic Distributed Risk Factors in Quadratic Portfolio of Securities Abstract: This research focuses on estimating the Value-at-Risk (VaR) of a quadratic portfolio of securities without Delta and Gamma, using elliptic distributed risk factors. The study employs a numerical method by Alan Genz to reduce the estimation of the quadratic VaR to a resolution of one-dimensional integral equations. The research illustrates the method using mixture of normal distributi..."
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