Multivariate heavy-tailed models for value-at-risk estimation

DOI10.1142/S021902491250029XMaRDI QIDQ2909514zbMATH OpenOpenAlexFDO

Authors Carlo Marinelli, Stefano D'Addona, Svetlozar T. Rachev

Publication date 30 August 2012

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1005.2862

zbMATH Keywords

backtestingmultidimensional stable-like distributionmultidimensional t-like distributiontail dependencetail thicknessvalue-at-risk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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 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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Cited in

(17)

• Fitting a Pareto-Normal-Pareto distribution to the residuals of financial data
• Multifractal value at risk model
• Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
• Extremal forex returns in extremely large data sets
• Vector-valued multivariate conditional value-at-risk
• Modeling fat tails in stock returns: a multivariate stable-GARCH approach
• Efficient simulation of value at risk with heavy-tailed risk factors
• Incorporating higher moments into value-at-risk forecasting
• Dependence between volatility persistence, kurtosis and degrees of freedom
• A multivariate heavy-tailed distribution for ARCH/GARCH residuals
• Asymptotic distribution of the sample average value-at-risk in the case of heavy-tailed returns
• A semi-parametric approach to risk management
• A Study of Value‐at‐Risk Based on M‐Estimators of the Conditional Heteroscedastic Models
• Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
• Estimating the conditional tail expectation of Walmart stock data
• MULTIVARIATE GEOMETRIC TAIL- AND RANGE-VALUE-AT-RISK
• A calibrated scenario generation model for heavy-tailed risk factors

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