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Value at risk bounds for portfolios of non-normal returns
Company: New Trends in Banking Management
Company Url: Click here to open
Year Of Publication: 2001
Month Of Publication: January
Pages: 22
Download Count: 1220
View Count: 5638
Comment Num: 0
Language: EN
Source: working paper
Who Can Read: Free
Date: 8-28-2002
Publisher: Administrator
This paper studies Value at Risk (VaR) bounds for sums of stochastically dependent random variables, i.e. portfolios of correlated financial assets. The bounds hold under no restrictions on the dependence or on the marginal distributions of returns. An improvement of the bounds is given for positive (quadrant) dependent rvs. Both sets of bounds are computed for portfolios of 6 international indices. Backtesting confirms the usefulness of the approach, even with respect to other shortcuts, such as the normality assumption. For small portfolios, bounds are not over conservative.
This document is published in New Trends in Banking Management (2002), 207-222.
Marena, Marina Sign in to follow this author
Luciano, Elisa Sign in to follow this author
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