TY - JOUR T1 - A New Analytical Approach to Value at Risk JF - The Journal of Portfolio Management SP - 88 LP - 97 DO - 10.3905/jpm.1999.319706 VL - 25 IS - 5 AU - H. Gifford. Fong AU - Kai-Ching. Lin Y1 - 1999/08/31 UR - https://pm-research.com/content/25/5/88.abstract N2 - 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. ER -