TY - JOUR
T1 - Multivariate heavy-tailed models for value-at-risk estimation
AU - Marinelli, Carlo
AU - D'Addona, Stefano
AU - Rachev, Svetlozar T.
PY - 2012/6
Y1 - 2012/6
N2 - 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.
AB - 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.
KW - Value-at-Risk
KW - backtesting
KW - multidimensional stable-like distribution
KW - multidimensional t-like distribution
KW - tail dependence
KW - tail thickness
UR - http://www.scopus.com/inward/record.url?scp=84862594943&partnerID=8YFLogxK
U2 - 10.1142/S021902491250029X
DO - 10.1142/S021902491250029X
M3 - Article
AN - SCOPUS:84862594943
SN - 0219-0249
VL - 15
JO - International Journal of Theoretical and Applied Finance
JF - International Journal of Theoretical and Applied Finance
IS - 4
M1 - 1250029
ER -