Economy – Quantitative Finance – Risk Management
Scientific paper
2009-05-06
Economy
Quantitative Finance
Risk Management
9 pages, 2 figures
Scientific paper
High precision analytical approximation is proposed for variance-covariance
based risk allocation in a portfolio of risky assets. A general case of a
single-period multi-factor Merton-type model with stochastic recovery is
considered. The accuracy of the approximation as well as its speed are compared
to and shown to be superior to those of Monte Carlo simulation.
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