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Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements

Collection
  • Cahiers de recherche; 2003.18
Publication date2003
Abstract

In this paper, we characterize explicitly the first derivative of the Value at Risk and the Expected Shortfall with respect to portfolio allocation when netting between positions exists. As a particular case, we examine a simple Gaussian example in order to illustrate the impact of netting agreements in credit risk management. We further provide nonparametric estimators for sensitivities and derive their asymptotic distributions. An empirical application on a typical banking portfolio is finally provided.

Keywords
  • Value at Risk
  • Expected Shortfall
  • Sensitivity
  • Risk Management
  • Credit Risk
  • Netting
Classification
  • JEL : C14, D81, G10, G21, G22
Citation (ISO format)
FERMANIAN, Jean-David, SCAILLET, Olivier. Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements. 2003
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accessLevelPublic
Identifiers
  • PID : unige:5790
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Creation15/04/2010 12:20:09
First validation15/04/2010 12:20:09
Update time14/03/2023 15:26:35
Status update14/03/2023 15:26:35
Last indexation15/01/2024 19:43:37
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