Multivariate heavy-tailed models for value-at-risk estimation

Carlo Marinelli, Stefano D'Addona, Svetlozar T. Rachev

Research output: Contribution to journalArticle

Abstract

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.

Original languageEnglish
Article number1250029
JournalInternational Journal of Theoretical and Applied Finance
Volume15
Issue number4
DOIs
StatePublished - Jun 2012

Keywords

  • Value-at-Risk
  • backtesting
  • multidimensional stable-like distribution
  • multidimensional t-like distribution
  • tail dependence
  • tail thickness

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