Hedging with Value-at-risk
Speaker:
Petter Wiberg, Bank of Montreal
Date and Time:
Thursday, November 1, 2001 - 2:30pm to 3:10pm
Location:
Fields Institute, Room 230
Abstract:
The value-at-risk is the maximum loss that a portfolio might suffer over a given holding period with a certain confidence level. In recent years, value-at-risk has become a benchmark for measuring financial risk used by both practitioners and regulators. We present an efficient algorithm for computing value-at-risk and the value-at-risk gradient for portfolios of derivative securities. In particular, we discuss dimensional reduction of the model and applications to hedging of derivatives portfolios.