1
Approximating Value at Risk in Conditional Gaussian Models
1.1
Introduction
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
1.5.1
Monte-Carlo Sampling Method
1.5.2
Partial Monte-Carlo with Importance Sampling
1.5.3
XploRe Examples
Bibliography