Abstract
This paper proposes several parametric models to compute the portfolio VaR and CVaR in a given temporal horizon and for a given level of confidence. Firstly, we describe extension of the EWMA RiskMetrics model considering conditional elliptically distributed returns. Secondly, we examine several new models based on different stable Paretian distributional hypotheses of return portfolios. Finally, we discuss the applicability of temporal aggregation rules for each VaR and CVaR model proposed.
| Original language | English |
|---|---|
| Pages (from-to) | 19-39 |
| Number of pages | 21 |
| Journal | Investment Management and Financial Innovations |
| Volume | 3 |
| Issue number | 4 |
| State | Published - 2006 |
Keywords
- Domain of attraction
- Elliptical distributions
- Stable distribution
- Time aggregation rules
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Lamantia, F., Ortobelli, S., & Rachev, S. (2006). VaR, CVaR and time rules with elliptical and asymmetric stable distributed returns. Investment Management and Financial Innovations, 3(4), 19-39.