VaR, CVaR and Time Rules with Elliptical and Asymmetric Stable Distributed Returns

Lamantia, Fabio; ORTOBELLI LOZZA, Sergio; Rachev, SVETLOZAR T.

This paper proposes several parametric models to compute the portfolio VaR and CVaR in a given temporal horizon and for a given level of confidence. Firstly, we describe extension of the EWMA RiskMetrics model considering conditional elliptical distributed returns. Secondly, we examine some new models based on different stable Paretian distributional hypotheses of return portfolios. Finally, we discuss the applicability of temporal aggregation rules for each VaR and CVaR model proposed.

Titolo:	VaR, CVaR and Time Rules with Elliptical and Asymmetric Stable Distributed Returns
Tutti gli autori:	LAMANTIA, FABIO; ORTOBELLI LOZZA, SERGIO; RACHEV, SVETLOZAR T.
Data di pubblicazione:	2006
Abstract (eng):	This paper proposes several parametric models to compute the portfolio VaR and CVaR in a given temporal horizon and for a given level of confidence. Firstly, we describe extension of the EWMA RiskMetrics model considering conditional elliptical distributed returns. Secondly, we examine some new models based on different stable Paretian distributional hypotheses of return portfolios. Finally, we discuss the applicability of temporal aggregation rules for each VaR and CVaR model proposed.
Rivista:	INVESTMENT MANAGEMENT & FINANCIAL INNOVATIONS
Nelle collezioni:	1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays

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Utilizza questo identificativo per citare o creare un link a questo documento:
http://hdl.handle.net/10446/19487

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