Decorrelation techniques in Value at Risk estimation

Riccardo Bramante

Risultato della ricerca: Contributo in libroContributo a convegno


Value at Risk (VaR) has emerged as an useful tool to risk management. A relevant driving force has been the di usion as a benchmark of JP Mor- gan RiskMetrics methodology and the subsequent BIS adoption of VaR for all trading portfolios of nancial institutions. In this paper we propose rst an e cient and easy to implement algorithm to perform VaR estimation on the basis of orthogonal components, both in the equally weighted historical and in the exponentially weighted moving average method; secondly, incremental and marginal VaR expressions are derived in order to obtain quickly information about the change in portfolio risk when corrections in the composition are applied. Numerical results regarding time e ciency are presented and their implications are discussed.
Lingua originaleEnglish
Titolo della pubblicazione ospiteProceedings of the Nineteenth International Conference - Forecasting Financial Markets
Numero di pagine7
Stato di pubblicazionePubblicato - 2012
Pubblicato esternamente
EventoForecasting Financial Markets - marseille
Durata: 23 mag 201225 mag 2012


ConvegnoForecasting Financial Markets


  • Time series decorrelation
  • Value at Risk


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