February 2007
Intermediate to advanced
280 pages
15h 37m
English
Content preview from Value at Risk and Bank Capital Management
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50 CHAPTER
♦
3 Market Risk
discussed how variance-reduction techniques could help MCS results converge faster to
the true fair value of the option. Unfortunately, the problem for VaR calculation is more
complex since (1) it is typically multidimensional, so joint distributions rather than single
assets’ distributions should be reproduced, and (2) the risk manager is not concerned
with the distribution mean only, as in option-pricing applications, but has to capture
some extreme percentiles. Consequently, not all techniques that can be used to make
the mean value converge faster may work successfully for VaR-oriented simulations. As
a genera ...
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