**Numerical and Computational Challenges
in Science and Engineering Program**

*Petter Wiberg, Computer Science Department, University of Toronto*

*LECTURE*

### January 15th, 2002 11:00am

*An introduction to value-at-risk simulation: background, modeling,
and algorithms*

The value-at-risk is the maximum loss that a portfolio might suffer
over a given holding period with a certain confidence level. In recent
years, value-at-risk has become a benchmark for measuring financial
risk used by both practitioners and regulators. In this seminar, we
discuss value-at-risk from a modeling and simulation perspective. We
present a new efficient algorithm for computing value-at-risk and the
value-at-risk gradient for portfolios of derivative securities. In particular,
we discuss dimensional reduction of the model, perturbation theory,
and applications to hedging of derivatives portfolios.

###

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