PT - JOURNAL ARTICLE AU - H. Gifford. Fong AU - Kai-Ching. Lin TI - A New Analytical Approach to Value at Risk AID - 10.3905/jpm.1999.319706 DP - 1999 Aug 31 TA - The Journal of Portfolio Management PG - 88--97 VI - 25 IP - 5 4099 - https://pm-research.com/content/25/5/88.short 4100 - https://pm-research.com/content/25/5/88.full AB - These authors describe an approach to calculating value at risk that directly investigates the relationship between the VaRs of the derivative and the underlying. The method gives exact and explicit formulas for plain-vanilla options, such as calls and puts, and provides algorithms for more exotic options. At the portfolio level, the approach is said to improve the accuracy of the VaR calculation while reducing the time requirements.