Improved Algorithms for Computing Worst Value-at-Risk: Numerical Challenges and the Adaptive Rearrangement Algorithm

Amir Memartoluie; David Saunders; Marius Hofert; Tony Wirjanto

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Improved Algorithms for Computing Worst Value-at-Risk: Numerical Challenges and the Adaptive Rearrangement Algorithm

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arxiv 1505.02281 v2 pith:TSBBJEVD submitted 2015-05-09 q-fin.RM

Marius Hofert , Amir Memartoluie , David Saunders , Tony Wirjanto This is my paper · ORCID

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keywords algorithmalgorithmsrearrangementvalue-at-riskworstadaptivechallengescomputing

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Numerical challenges inherent in algorithms for computing worst Value-at-Risk in homogeneous portfolios are identified and solutions as well as words of warning concerning their implementation are provided. Furthermore, both conceptual and computational improvements to the Rearrangement Algorithm for approximating worst Value-at-Risk for portfolios with arbitrary marginal loss distributions are given. In particular, a novel Adaptive Rearrangement Algorithm is introduced and investigated. These algorithms are implemented using the R package qrmtools.

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