Abstract
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 originale | English |
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Titolo della pubblicazione ospite | Proceedings of the Nineteenth International Conference - Forecasting Financial Markets |
Pagine | 1-7 |
Numero di pagine | 7 |
Stato di pubblicazione | Pubblicato - 2012 |
Pubblicato esternamente | Sì |
Evento | Forecasting Financial Markets - marseille Durata: 23 mag 2012 → 25 mag 2012 |
Convegno
Convegno | Forecasting Financial Markets |
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Città | marseille |
Periodo | 23/5/12 → 25/5/12 |
Keywords
- Time series decorrelation
- Value at Risk