VaR, CVaR and Time Rules with Elliptical and Asymmetric Stable Distributed Returns
نویسندگان
چکیده
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 elliptically distributed returns. Secondly, we examine several 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.
منابع مشابه
An Empirical Comparison among VaR Models and Time Rules with Elliptical and Stable Distributed Returns
This paper compares and investigates the impact of different VaR models with conditional elliptical and stable distributed returns. In particular, we analyze some non-Gaussian VaR models and we discuss the applicability of some temporal aggregation rules. Thus, we propose and examine the performance of several VaR models: (i) an EWMA model with Student's t conditional distributions, (ii) a stab...
متن کاملHigher moments portfolio Optimization with unequal weights based on Generalized Capital Asset pricing model with independent and identically asymmetric Power Distribution
The main criterion in investment decisions is to maximize the investors utility. Traditional capital asset pricing models cannot be used when asset returns do not follow a normal distribution. For this reason, we use capital asset pricing model with independent and identically asymmetric power distributed (CAPM-IIAPD) and capital asset pricing model with asymmetric independent and identically a...
متن کاملSensitivity of portfolio VaR and CVaR to portfolio return characteristics
Risk management through marginal rebalancing is important for institutional investors due to the size of their portfolios. We consider the problem of improving marginally portfolio VaR and CVaR through a marginal change in the portfolio return characteristics. We study the relative significance of standard deviation, mean, tail thickness, and skewness in a parametric setting assuming a Student’...
متن کاملPortfolio Optimization with Conditional Value-at-risk Objective and Constraints
Recently, a new approach for optimization of Conditional Value-at-Risk (CVaR) was suggested and tested with several applications. For continuous distributions, CVaR is defined as the expected loss exceeding Value-at Risk (VaR). However, generally, CVaR is the weighted average of VaR and losses exceeding VaR. Central to the approach is an optimization technique for calculating VaR and optimizing...
متن کاملApproximations for the Value-at-Risk approach to risk-return analysis
An evergreen debate in Finance concerns the rules for making portfolio hedge decisions. A traditional tool proposed in the literature is the well-known standard deviation based Sharpe Ratio, which has been recently generalized in order to involve also other popular risk measures ρ, such as VaR (Value-at-Risk) or CVaR (Conditional Value at Risk). This approach gives the correct choice of portfol...
متن کامل