Value at Risk Computation in a Non-Stationary Setting - Université Paris 1 Panthéon-Sorbonne Accéder directement au contenu
Chapitre D'ouvrage Année : 2010

Value at Risk Computation in a Non-Stationary Setting

Résumé

This chapter recalls the main tools useful to compute Value at Risk associated with a m-dimensional portfolio. Then, the limitations of the use of these tools is explained, as soon as non-stationarities are observed in time series. Indeed, specific behaviours observed by financial assets, like volatility, jumps, explosions, and pseudo-seasonalities, provoke non-stationarities which affect the distribution function of the portfolio. Thus, a new way for computing VaR is proposed which allows the potential non-invariance of the m-dimensional portfolio distribution function to be avoided.
Fichier principal
Vignette du fichier
guegan_VaR_book_2010.pdf (294.95 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

halshs-00511995 , version 1 (26-08-2010)

Identifiants

  • HAL Id : halshs-00511995 , version 1

Citer

Dominique Guegan. Value at Risk Computation in a Non-Stationary Setting. Greg N. Gregoriou, Carsten S. Wehn, Christian Hoppe. Handbook on Model Risk : Measuring, managing and mitigating model risk, lessons from financial crisis, John Wiley, 431-454 - chapter 19, 2010. ⟨halshs-00511995⟩
168 Consultations
558 Téléchargements

Partager

Gmail Facebook X LinkedIn More