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
1.4.1
Error Analysis
1.4.2
Tail Behavior
1.4.3
Inversion of the cdf minus the Gaussian Approximation
1.5
Variance Reduction Techniques in Monte-Carlo Simulation
Bibliography