Journal of Risk
ISSN:
1465-1211 (print)
1755-2842 (online)
Editor-in-chief: Farid AitSahlia
Comparison of cashflow maps for value-at-risk
Marc Henrard
Abstract
ABSTRACT
In this paper, the author studies cashflow maps used in the computation of value-at-risk. Properties and characteristics of the approaches found in the literature are presented and two new approaches are introduced. The goal of this paper is to study the quality of these maps. This is done by calculating the risk induced by the difference between the mapped cashflows and the original.
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