Value at Risk Computation in a Non-Stationary Setting

Abstract : 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.
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Contributeur : Dominique Guégan <>
Soumis le : jeudi 26 août 2010 - 19:56:58
Dernière modification le : jeudi 4 octobre 2018 - 18:28:03
Document(s) archivé(s) le : lundi 29 novembre 2010 - 11:53:36


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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⟩



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