Evaluation of VaR Calculation and Approximation methods

This is a Quantitative Finance Masters Thesis. The topic is about the evaluation of VaR Calculation and Approximation methods. Such as Delta Approximation, Delta-Gamma Approximation, Delta-Gamma-Theta Approximation… Some References: Revisions to the BASEL II Market Risk Framework, BASEL Committee on Banking Supervision, 2009. http://www.bis.org/publ/bcbs158.pdf • William Fallon, Calculating Value-at-Risk , 1996. • Linda Allen, Understanding Market, Credit & Operational Risk, Chapter 3: Putting VaR to Work , 2004. • John C. Hull, Options, Futures, and Other Derivatives , Chapter 20: Value at Risk, 2009. • Darrell Duffie and Jun Pan, “An Overview of Value at Risk,” 1997. • Manuel Amman and Christian Reich, “VaR for Nonlinear Financial Instruments — Linear Approximations or Full Monte-Carlo?,” 2001. • Michael S. Gibson and Matthew Pritsker, “Improving Grid-Based Methods for Estimating Value at Risk of Fixed-Income Portfolios,” 2000. • Fundamental Review of the Trading Book, BASEL Committee on Banking Supervision, 2012. http://www.bis.org/publ/bcbs219.pdf Bams, D., T. Lehnert & C.P.Wolff (2002). An Evaluation Framework for Alternative VaR Models, EFA Berlin Meetings Discussion Paper. Chen, X.H. & Yang, H.Y (2003). Value-at-Risk: Measures with Fat Tails and Relative Performance Evaluation, Management Sciences in China, 17:1, 39-46 Christoffersen, P (1998). Evaluating Interval Forecasts, International Economic Review, 39:841-62. Christoffersen, P. & D. Pelletier, (2004). Backtesting Value-at-Risk: A Duration-Based Approach. Journal of Financial Econometrics, 2:1,84-108, Oxford University Press. Don Bredin. & H. Stuart (2004). FOREX Risk: Measurement and Evaluation Using Valueat‐Risk, Journal of Business Finance & Accounting, 31: 1389–1417.