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Title

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

Authors
Fermanian, Jean-David
Year 2003
Collection Cahiers de recherche; 2003.18
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 RiskExpected ShortfallSensitivityRisk ManagementCredit RiskNetting
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FERMANIAN, Jean-David, SCAILLET, Olivier. Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements. 2003 https://archive-ouverte.unige.ch/unige:5790

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Deposited on : 2010-04-15

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