Forthcoming articles

International Journal of Financial Engineering and Risk Management

International Journal of Financial Engineering and Risk Management (IJFERM)

These articles have been peer-reviewed and accepted for publication but are pending final changes, are not yet published and may not appear here in their final order of publication until they are assigned to issues. Therefore, the content conforms to our standards but the presentation (e.g. typesetting and proof-reading) is not necessarily up to the Inderscience standard. Additionally, titles, authors, abstracts and keywords may change before publication. Articles will not be published until the final proofs are validated by their authors.

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International Journal of Financial Engineering and Risk Management (1 paper in press)

Regular Issues

  • Computational Challenges for Value-at-Risk and Expected Shortfall: Chebyshev Interpolation to the Rescue?   Order a copy of this article
    by Sascha Wilkens 
    Abstract: Computational challenges associated with calculating risk measures are inherent to many applications in financial institutions. An example is the need to revalue portfolios of trading positions hundreds or thousands of times to determine the future distribution of their present values and risk measures such as Value-at-Risk and Expected Shortfall. This paper reports on an exploratory study in which recently popularised "smart grids" based on Chebyshev interpolation are compared to standard (uniform) grids as well as Taylor expansion when applied to this task. While generally outperforming other methods and despite their advantageous properties, Chebyshev grids are still subject to drawbacks such as difficult error control and the curse of dimensionality. They cannot yet be seen as a quantum leap in the calculation of risk measures. Ongoing research focussing on sparse grids and their approximation quality, however, is promising.
    Keywords: risk measurement; market risk; Value-at-Risk; Expected Shortfall; interpolation; Chebyshev.