This paper proposes several parametric models to compute the portfolio VaR and CVaR in agiven temporal horizon and for a given level of confidence. Firstly, we describe extension ofthe EWMA RiskMetrics model considering conditional elliptically distributed returns.Secondly, we examine several new models based on different stable Paretian distributionalhypotheses of return portfolios. Finally, we discuss the applicability of temporal aggregationrules for each VaR and CVaR model proposed.
VaR, CVAR, and Time Rules with Elliptical and Asymmetric Stable Distributed Returns
LAMANTIA, FABIO GIOVANNI;
2006-01-01
Abstract
This paper proposes several parametric models to compute the portfolio VaR and CVaR in agiven temporal horizon and for a given level of confidence. Firstly, we describe extension ofthe EWMA RiskMetrics model considering conditional elliptically distributed returns.Secondly, we examine several new models based on different stable Paretian distributionalhypotheses of return portfolios. Finally, we discuss the applicability of temporal aggregationrules for each VaR and CVaR model proposed.File in questo prodotto:
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