Document Search
Add To My Bookshelf Sign in or Register Save And Annotate
Keywords:

components sign in to follow this
ICA sign in to follow this
PCA sign in to follow this
dimension sign in to follow this
reduction sign in to follow this
multivariate sign in to follow this
Categories:

VaR Methods sign in to follow this
--Evaluation/Comparison sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
Multivariate Risk Management
Company: Humboldt-Universitat zu Berlin
Year Of Publication: 2005
Month Of Publication: February
Pages: 63
Download Count: 606
View Count:
Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 2-9-2006
Publisher: Administrator
Summary
In this thesis we propose a risk management methodology to high-dimensional financialportfolios. Instead of estimating the joint density of the portfolios in a high-dimensionalspace, we are encouraged by using the independent component analysis (ICA) to decomposethe dependent risk factors to a linear transformation of independent components (ICs).The marginal density and the volatility process of each IC are estimated in a univariatedimension. Thereafter the joint densities and the dependence structures of the ICs and theoriginal risk factors can be calculated using the statistical property of the independence andits linear transformation. We assume the marginal densities of ICs belong to the generalizedhyperbolic (GH) distribution family since this family possesses semi-heavy tails and mimicsthe empirical distributions of the ICs appropriately. Further we implement a nonparametricadaptive methodology to estimate the local volatilities of ICs based on a homogeneity test.In order to check the reliability of the proposed methodology, we consider a portfolio in ourstudy: a 2-dimensional exchange rates DEM/USD and GBP/USD with 4 different tradingstrategies. The empirical studies show that the performance of the VaR forecast usingthe proposed methodology is better than the popular Delta-Gamma-Normal model. Allcalculations and simulations are able to be recalculated with the software XploRe.
Author(s)
Chen, M.A. Ying Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile