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

long sign in to follow this
term sign in to follow this
horizon sign in to follow this
extreme sign in to follow this
value sign in to follow this
EVT sign in to follow this
fat sign in to follow this
tail sign in to follow this
Fourier sign in to follow this
time-aggregation sign in to follow this
square sign in to follow this
root 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
Beyond Value at Risk: Forecasting Portfolio Loss at Multiple Horizons
Year Of Publication: 2007
Month Of Publication: October
Pages: 34
Download Count: 323
View Count:
Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 11-24-2007
Publisher: Administrator
Summary
We develop a portfolio risk model that uses high-frequency data to forecastthe loss surface, which is the set of loss distributions at future time horizons. Ourmodel uses a fully automated, semi-parametric ¯tting procedure that has its basis inextreme value statistics. We take account of distributional asymmetry, heavy tails,heteroscedasticity and serial correlation. Loss distributions are time aggregated bytaking products of characteristic functions. We test loss-surface-implied forecastsof value at risk and expected shortfall out of sample on a diverse set of portfoliosand we compare our forecasts to industry-standard risk forecasts that are based onasset and factor covariance matrices. The empirical results make a compelling casefor the application and further development of our approach
Author(s)
Goldberg, Lisa Sign in to follow this author
Miller, Guy Sign in to follow this author
Weinstein, Jared 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