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Title

Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements

Authors
Fermanian, Jean-David
Published in Journal of Banking & Finance. 2005, vol. 29, no. 4, p. 927-958
Abstract In this paper, we characterize explicitly the first derivative of the Value at Risk and the Expected Shortfall with respect to portfolio allocations 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. Collateral issues are also dealt with. For practical purposes 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 riskNettingCollateral
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Research group Geneva Finance Research Institute (GFRI)
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FERMANIAN, Jean-David, SCAILLET, Olivier. Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements. In: Journal of Banking & Finance, 2005, vol. 29, n° 4, p. 927-958. https://archive-ouverte.unige.ch/unige:79873

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Deposited on : 2016-01-22

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