Journal of Risk Model Validation
ISSN:
1753-9579 (print)
1753-9587 (online)
Editor-in-chief: Steve Satchell
Value-at-risk bounds for multivariate heavy tailed distribution: an application to the Glosten–Jagannathan–Runkle generalized autoregressive conditional heteroscedasticity model
Need to know
- Explicit VaR bounds for portfolios of possibly dependent financial assets are evaluated.
- we propose to use EVT/GJR-GARCH combination to calculate a modified VaR where a shift of location is introduced.
- The proposed VaR has an interesting property of location invariance and take into consideration the different characteristics of financial data.
- Empirical application and Backtesting procedure are used.
Abstract
ABSTRACT
The aim of this paper is to derive value-at-risk (VaR) bounds for the portfolios of possibly dependent financial assets for heavy tailed Glosten-Jagannathan-Runkle generalized autoregressive conditional heteroscedasticity processes using extreme value theory copulas. Using the 2014 contribution of Gammoudi et al made in "Value at risk estimation for heavy tailed distributions" as well as the 2005 paper by Mesfioui and Quessy titled "Bounds on the value-at-risk for the sum of possibly dependent risks", we provide modified VaR bounds for when a shift of location is introduced. These bounds have the interesting property of location invariance. Empirical studies for several market indexes are carried out to illustrate our approach.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
