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Stochastic models for risk estimation in volatile markets: A survey
Company: Annals of Operations Research
Company Url: Click here to open
Year Of Publication: 2010
Month Of Publication: April
Pages: 293-309
Download Count: 12
View Count: 1795
Comment Num: 0
Language: English
Who Can Read: Free
Date: 3-22-2010
Publisher: Administrator
Summary
The problem of portfolio risk estimation in volatile markets requires employ-
ing fat-tailed models for ¯nancial instrument returns combined with copula functions to
capture asymmetries in dependence and a true downside risk measure for risk estima-
tion. In this survey, we discuss how these three essential components can be combined
together in a Monte Carlo based framework for risk estimation and risk budgeting with
the average value-at-risk measure (AVaR). We consider in detail the questions of AVaR
calculation and estimation and also stochastic stability of AVaR when combined with
heavy-tailed scenarios.
This is a pre-publication version of the document. The final version may be purchased at the following url: http://dx.doi.org/10.1007/s10479-008-0468
Author(s)
Stoyanov, Stoyan Sign in to follow this author
Rachev, Svetlozar Sign in to follow this author
Fabozzi, Frank J. Sign in to follow this author
Racheva-Iotova, Borjana Sign in to follow this author
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