VaR for nonlinear financial instruments — linear approximation or full Monte Carlo?

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The research for this article was conducted while the authors were at the University of St. Gallen. Christian Reich acknowledges financial support from CaRisMa.

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Ammann, M., Reich, C. VaR for nonlinear financial instruments — linear approximation or full Monte Carlo?. Fin Mkts Portfolio Mgmt 15, 363–378 (2001).

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  • Linear Approximation
  • Financial Instrument