{"id":"https://openalex.org/W2345317945","doi":"https://doi.org/10.1023/a:1009779322802","title":"Non-Linear Value-at-Risk","display_name":"Non-Linear Value-at-Risk","publication_year":1999,"publication_date":"1999-08-01","ids":{"openalex":"https://openalex.org/W2345317945","doi":"https://doi.org/10.1023/a:1009779322802","mag":"2345317945"},"language":"en","primary_location":{"id":"doi:10.1023/a:1009779322802","doi":"https://doi.org/10.1023/a:1009779322802","is_oa":false,"landing_page_url":"https://doi.org/10.1023/a:1009779322802","pdf_url":null,"source":{"id":"https://openalex.org/S49857371","display_name":"European Finance Review","issn_l":"1382-6662","issn":["1382-6662","1573-692X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","cwts-core","fnege-1","poland-140"],"host_organization":"https://openalex.org/P4310311648","host_organization_name":"Oxford University Press","host_organization_lineage":["https://openalex.org/P4310311648","https://openalex.org/P4310311647"],"host_organization_lineage_names":["Oxford University Press","University of Oxford"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Review of Finance","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5086360542","display_name":"Mark Britten\u2010Jones","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Mark Britten-Jones","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5019895659","display_name":"Stephen M. Schaefer","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Stephen M. Schaefer","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":{"value":4487,"currency":"EUR","value_usd":5071},"apc_paid":null,"fwci":10.3181,"has_fulltext":false,"cited_by_count":98,"citation_normalized_percentile":{"value":0.97863725,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"2","issue":"2","first_page":"161","last_page":"187"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.5708000063896179,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.5708000063896179,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.301800012588501,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.05130000039935112,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/value-at-risk","display_name":"value at risk","score":0.9610000252723694},{"id":"https://openalex.org/keywords/second-order-approximation","display_name":"second-order approximation","score":0.9190000295639038},{"id":"https://openalex.org/keywords/option-portfolios","display_name":"option portfolios","score":0.5410000085830688},{"id":"https://openalex.org/keywords/portfolio-risk-assessment","display_name":"portfolio risk assessment","score":0.6520000100135803}],"concepts":[{"id":"https://openalex.org/C2776291640","wikidata":"https://www.wikidata.org/wiki/Q2912517","display_name":"Value (mathematics)","level":2,"score":0.4467594027519226},{"id":"https://openalex.org/C39432304","wikidata":"https://www.wikidata.org/wiki/Q188847","display_name":"Environmental science","level":0,"score":0.34687289595603943},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.28922444581985474},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.15476471185684204}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.1023/a:1009779322802","doi":"https://doi.org/10.1023/a:1009779322802","is_oa":false,"landing_page_url":"https://doi.org/10.1023/a:1009779322802","pdf_url":null,"source":{"id":"https://openalex.org/S49857371","display_name":"European Finance Review","issn_l":"1382-6662","issn":["1382-6662","1573-692X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","cwts-core","fnege-1","poland-140"],"host_organization":"https://openalex.org/P4310311648","host_organization_name":"Oxford University Press","host_organization_lineage":["https://openalex.org/P4310311648","https://openalex.org/P4310311647"],"host_organization_lineage_names":["Oxford University Press","University of Oxford"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Review of Finance","raw_type":"journal-article"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.35.4629","doi":null,"is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.35.4629","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://pluto.mscc.huji.ac.il/~efr/2-2/195047.pdf","raw_type":"text"},{"id":"pmh:oai:RePEc:oup:revfin:v:2:y:1999:i:2:p:161-187.","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1023/A:1009779322802","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"mag:2345317945","doi":null,"is_oa":false,"landing_page_url":"https://link.springer.com/content/pdf/10.1007/978-1-4615-5043-3_7.pdf","pdf_url":null,"source":null,"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":null}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":8,"referenced_works":["https://openalex.org/W13993367","https://openalex.org/W2000911096","https://openalex.org/W2008618334","https://openalex.org/W2046899013","https://openalex.org/W2054640142","https://openalex.org/W2170206178","https://openalex.org/W2413904363","https://openalex.org/W3122552018"],"related_works":["https://openalex.org/W2265065416","https://openalex.org/W2765362761","https://openalex.org/W2165483870","https://openalex.org/W2146592776","https://openalex.org/W2786623605","https://openalex.org/W2625459448","https://openalex.org/W2936952237","https://openalex.org/W2748244316","https://openalex.org/W2023593202","https://openalex.org/W7036862399"],"abstract_inverted_index":{"Abstract":[0],"Value-at-risk":[1],"methods":[2],"which":[3,68],"employ":[4],"a":[5,50,70],"linear":[6,94],"(\u201cdelta":[7],"only\u201d)":[8],"approximation":[9,72],"to":[10,23,28,41,73,88,96],"the":[11,17,42,57,74,80,93,97,121,126],"relation":[12,75],"between":[13,76],"instrument":[14],"values":[15,55,78],"and":[16,79,116,132],"underlying":[18,58],"risk":[19,81,101],"factors":[20],"are":[21],"unlikely":[22],"be":[24,89],"robust":[25],"when":[26],"applied":[27],"portfolios":[29,103],"containing":[30,104],"non-linear":[31,105],"contracts":[32],"such":[33],"as":[34],"options.":[35],"The":[36],"most":[37],"widely":[38],"used":[39],"alternative":[40,66],"delta-only":[43,122],"approach":[44,67],"involves":[45],"revaluing":[46],"each":[47],"contract":[48],"for":[49],"large":[51],"number":[52],"of":[53,56,99,128],"simulated":[54],"factors.":[59,82],"In":[60],"this":[61],"paper":[62],"we":[63],"explore":[64],"an":[65],"uses":[69],"quadratic":[71],"asset":[77],"This":[83],"method":[84,95],"(i)":[85],"is":[86,108],"likely":[87],"better":[90],"adapted":[91],"than":[92,112,135],"problem":[98],"assessing":[100],"in":[102,118],"assets,":[106],"(ii)":[107],"less":[109],"computationally":[110],"intensive":[111],"simulation":[113],"using":[114],"full-revaluation":[115],"(iii)":[117],"common":[119],"with":[120],"method,":[123],"operates":[124],"at":[125],"level":[127],"portfolio":[129],"characteristics":[130],"(deltas":[131],"gammas)":[133],"rather":[134],"individual":[136],"instruments.":[137]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":1},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":4},{"year":2019,"cited_by_count":2},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":4},{"year":2016,"cited_by_count":3},{"year":2015,"cited_by_count":5},{"year":2014,"cited_by_count":3},{"year":2013,"cited_by_count":9},{"year":2012,"cited_by_count":3}],"updated_date":"2026-10-16T09:59:22.235173","created_date":"2016-06-24T00:00:00"}