Semi-Analytic Portfolio VaR via Eigenvalue-Conditioned COS Inversion
Unreviewed draft. This paper has not been human-reviewed.
Mathematical claims may be unverified. Use with appropriate caution.
Summary
We present a deterministic, grid-free method for computing Value-at-Risk of
portfolios whose assets follow correlated geometric Brownian motion. The
portfolio value is a weighted sum of correlated lognormals — the Fenton
Distribution — whose CDF has no closed form but whose characteristic function
is exactly computable.
Length
2,691 words
Status
Draft