For purposes of Value-at-Risk estimation, we consider several multivariate families of heavy-tailed distributions, which can be seen as multidimensional versions of Paretian stable and Student's t distributions allowing different marginals to have different indices of tail thickness. After a discussion of relevant estimation and simulation issues, we conduct a backtesting study on a set of portfolios containing derivative instruments, using historical US stock price data.
|Journal||International Journal of Theoretical and Applied Finance|
|State||Published - Jun 2012|
- multidimensional stable-like distribution
- multidimensional t-like distribution
- tail dependence
- tail thickness