Efficient Computation of Value at Risk with Heavy-Tailed Risk Factors

2009 ◽  
Author(s):  
Cheng-der Fuh ◽  
Inchi Hu ◽  
Kate Hsu ◽  
Ren-Her Wang
Keyword(s):  
Risk Factors ◽  
At Risk ◽  
Value At Risk ◽  
Efficient Computation ◽  
Heavy Tailed

Portfolio Value-at-Risk with Heavy-Tailed Risk Factors

2002 ◽  
Vol 12 (3) ◽  
pp. 239-269 ◽  
Author(s):  
Paul Glasserman ◽  
Philip Heidelberger ◽  
Perwez Shahabuddin
Keyword(s):  
Risk Factors ◽  
At Risk ◽  
Value At Risk ◽  
Heavy Tailed

Efficient Simulation of Value at Risk with Heavy-Tailed Risk Factors

2011 ◽  
Vol 59 (6) ◽  
pp. 1395-1406 ◽  
Author(s):  
Cheng-Der Fuh ◽  
Inchi Hu ◽  
Ya-Hui Hsu ◽  
Ren-Her Wang
Keyword(s):  
Risk Factors ◽  
At Risk ◽  
Value At Risk ◽  
Efficient Simulation ◽  
Heavy Tailed

scholarly journals MULTIVARIATE HEAVY-TAILED MODELS FOR VALUE-AT-RISK ESTIMATION

2012 ◽  
Vol 15 (04) ◽  
pp. 1250029 ◽  
Author(s):  
CARLO MARINELLI ◽  
STEFANO D'ADDONA ◽  
SVETLOZAR T. RACHEV
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Stock Price ◽  
Risk Estimation ◽  
Price Data ◽  
Heavy Tailed Distributions ◽  
Derivative Instruments ◽  
Heavy Tailed ◽  
Student’S T

For purposes of Value-at-Risk estimation, we consider several multivariate families of heavy-tailed distributions, which can be seen as multidimensional versions of Paretian stable and Student's t distributions allowing different marginals to have different indices of tail thickness. After a discussion of relevant estimation and simulation issues, we conduct a backtesting study on a set of portfolios containing derivative instruments, using historical US stock price data.

scholarly journals Multivariate Heavy-Tailed Models for Value-at-Risk Estimation

2011 ◽  
Author(s):  
Carlo Marinelli ◽  
Stefano d'Addona ◽  
Svetlozar Rachev
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Estimation ◽  
Heavy Tailed
Sign in / Sign up

Export Citation Format

Share Document