Journal of Risk

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Comparison of cashflow maps for value-at-risk

Marc Henrard

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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