Asymptotics For Value At Risk And Conditional Tail Expectation Of A Portfolio Loss

Consider a risk model in whichX(1), horizontal ellipsis , X(n)arenpotential losses from different risky assets at the terminal time, and theta 1, horizontal ellipsis ,theta narendiscount factors over the period. In this paper, we establish some asymptotic formulas for the value at risk and conditional tail expectation of the total discounted lossSn= n-ary sumation i=1n theta iXiof an investment portfolio. We also demonstrate our obtained results through Monte Carlo simulations with asymptotics.