1
Approximating Value at Risk in Conditional Gaussian Models
1.1
Introduction
1.1.1
The Practical Need
1.1.2
Statistical Modeling for VaR
1.1.3
VaR Approximations
1.1.4
Pros and Cons of Delta-Gamma Approximations
1.2
General Properties of Delta-Gamma-Normal Models
1.3
Cornish-Fisher Approximations
1.4
Fourier Inversion
1.5
Variance Reduction Techniques in Monte-Carlo Simulation
Bibliography