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The Long-Term Extreme Price Risk Measure of Portfolio In Inventory Financing: An Application to Dynamic Impawn Rate Interval
Company: Complexity
Company Url: Click here to open
Year Of Publication: 2014
Month Of Publication: April
Resource Link: Click here to open
Download Count: 0
View Count: 702
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 4-22-2014
Publisher: Administrator
Summary
In this article, a new long-term extreme price risk (value at risk and conditional value at risk) measure method for inventory portfolio and an application to dynamic impawn rate interval are proposed. To realize this, we first establish AutoRegressive Moving Average-Exponential Generalized Autoregressive Conditional Heteroskedasticity-Extreme Value Theory model and multivariatet-Copula to depict the autocorrelation, fat tails, and volatility clustering of returns of inventories and the nonlinear dependence structure of inventories. Furthermore, we obtain the long-term extreme price risk with time varying volatility via Monte Carlo simulation instead of square-root-of time rule. The results show that, first, benefits from risk diversification is significant; second, long-term extreme price risk measure of inventory portfolio via Monte Carlo method outperforms the square-root-of time rule.
Author(s)
Chen, Lei Sign in to follow this author
He, Juan Sign in to follow this author
Wang, Jian Sign in to follow this author
Jiang, Xianglin Sign in to follow this author
Chen, Xiangfeng Sign in to follow this author
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