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

DOI10.1142/S021902491250029XzbMATH Open1246.91156arXiv1005.2862OpenAlexW3122992011MaRDI QIDQ2909514FDOQ2909514

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)

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.

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

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zbMATH Keywords

tail dependencevalue-at-riskbacktestingmultidimensional stable-like distributionmultidimensional t-like distributiontail thickness

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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Cited In (17)

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

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