Market Value-At-Risk: ROM Simulation, Cornish-Fisher Var and Chebyshev-Markov Var Bound
Market Value-At-Risk: ROM Simulation, Cornish-Fisher Var and Chebyshev-Markov Var Bound
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 portfolio return distribution, is also much impacted …