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Title: Comparison of value-at-risk (VAR) using delta-gamma approximation with higher order approach
Authors: TEO LI HUI
Keywords: Value-at-Risk, Delta-Gamma Approximation, Monte Carlo Simulation
Issue Date: 16-Jul-2006
Citation: TEO LI HUI (2006-07-16). Comparison of value-at-risk (VAR) using delta-gamma approximation with higher order approach. ScholarBank@NUS Repository.
Abstract: Value-at-Risk (VaR) has emerged as a popular method to measure financial market risk that was developed in response to the financial disasters in the early 1990s. There has been frequent debate about the accuracy of various methodologies. In this dissertation, we propose a new methodology which include third and forth moment into existing Delta-Gamma approximation in calculating VaR for non-linear portfolios.We also consider the application of this new method to standard Monte Carlo simulation and Quasi Monte Carlo simulation. A computer implementation of Value-at-Risk simulation was carried out to verify the faster convergence rate of this approach.We will provide numerical examples to demonstrate the faster convergence rate and do the comparison with other approach.
Appears in Collections:Master's Theses (Open)

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