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Improved algorithms for computing worst Value-at-Risk by Marius Hofert; Amir Memartoluie; David Saunders; Tony Wirjanto is a Economics, Econometrics and Finance article available to read on EtoBox.

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## Abstract Numerical challenges inherent in algorithms for computing worst Value-at-Risk in homogeneous portfolios are identified and solutions as well as words of warning concerning their implementation are provided. Furthermore, both conceptual and computational improvements to the Rearrangement Algorithm for approximating worst Value-at-Risk for portfolios with arbitrary marginal loss distributions are given. In particular, a novel Adaptive Rearrangement Algorithm is introduced and investigated. These algorithms are implemented using the R package qrmtools and may be of interest in any context in which it is required to find columnwise permutations of a matrix such that the minimal (maximal) row sum is maximized (minimized).

Who reads Improved algorithms for computing worst Value-at-Risk?

Author

Marius Hofert; Amir Memartoluie; David Saunders; Tony Wirjanto

Publisher

Walter de Gruyter GmbH

Published

2017

Language

EN

Field

Economics, Econometrics and Finance (Physical Sciences)