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Value at Risk Computation in a Non-Stationary Setting
Year Of Publication: 2010
Month Of Publication: August
Pages: 431-454
Download Count: 3
View Count: 1366
Comment Num: 0
Language: English
Source: book chapter
Who Can Read: Free
Date: 8-27-2010
Publisher: Administrator
Summary
This chapter recalls the main tools useful to compute Value at Risk associated with a mdimensional portfolio. Then, the limitations of the use of these tools is explained, as soon as non-stationarities are observed in time series. Indeed, specific behaviours observed by financial assets, like volatility, jumps, explosions, and pseudo-seasonalities, provoke nonstationarities which affect the distribution function of the portfolio. Thus, a new way for computing VaR is proposed which allows the potential non-invariance of the m-dimensional portfolio distribution function to be avoided.
Author(s)
Guegan, Dominique Sign in to follow this author
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