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Multivariate heavy-tailed models for Value-at-Risk estimation
Journal article   Open access  Peer reviewed

Multivariate heavy-tailed models for Value-at-Risk estimation

Carlo Marinelli, Stefano d'Addona and ST Rachev
International Journal of Theoretical and Applied Finance, Vol.15(4), 1250029
15
2012
Handle:
https://hdl.handle.net/10863/5896

Abstract

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.
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url
https://www.worldscientific.com/doi/abs/10.1142/S021902491250029X?journalCode=ijtafView

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