| 摘要 |
The invention is a method and system for determining VaR. The invention does not require Monte Carlo sampling. Alternatively, if Monte Carlo sampling is used, it requires only a reduced number of such trials. The invention is based on reducing the pricing function of the overall portfolio to a delta-gamma approximaiton, which in effect is a quadratic form in the risk factors; the distribution of the risk factors is, in turn, assumed to be a known multivariate normal distribution; the distribution of this quadratic form in normal variables is then determined by means of first evaluating the moment generating function (Laplace transform) of this distribution, and then applying highlt accurate methods of saddlepoint approximation to this moment generating function to determine the distribution and its quantiles. |
