Comparison of Cash Flow Maps for Value-at-Risk

Posted: 21 Mar 2006

See all articles by Marc P. A. Henrard

Marc P. A. Henrard

muRisQ Advisory; OpenGamma; University College London - Department of Mathematics

Abstract

We study cash flow maps used in the computation of the Value at Risk. We present the one we found in the literature and two new one introduced here. The goal of this paper is to study the quality of those maps. This is done by calculating the risk induced by the difference between the mapped cash flow and the original one.

Keywords: Value-at-risk, mapping, cash-flows

JEL Classification: C16

Suggested Citation

Henrard, Marc P. A., Comparison of Cash Flow Maps for Value-at-Risk. Journal of Risk, Vol. 3, No. 1, pp. 57-71, 2000 . Available at SSRN: https://ssrn.com/abstract=890042

Marc P. A. Henrard (Contact Author)

muRisQ Advisory ( email )

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OpenGamma ( email )

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London, EC1V 9DD
United Kingdom

University College London - Department of Mathematics ( email )

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London, WC1E 6BT
United Kingdom

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