Comparison of Cash Flow Maps for Value-at-Risk
Posted: 21 Mar 2006
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: Suggested Citation