Werner Hürlimann

Market Value-At-Risk: ROM Simulation, Cornish-Fisher Var and Chebyshev-Markov Var Bound

Werner Hürlimann · Journal of Advances in Mathematics and Computer Science · 2014

We apply the recently developed sampling algorithm, called random orthogonal matrix (ROM) simulation by Ledermann et al. [3], to compute VaR of a market risk portfolio. Typically, the covariance matrix has a large influence on ROM VaR. But VaR, being a lower quantile of the portf...