VaR, CVaR and time rules with elliptical and asymmetric stable distributed returns

Fabio Lamantia, Sergio Ortobelli, Svetlozar Rachev

Research output: Contribution to journalArticle

7 Scopus citations

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 languageEnglish
Pages (from-to)19-39
Number of pages21
JournalInvestment Management and Financial Innovations
Volume3
Issue number4
StatePublished - 2006

Keywords

  • Domain of attraction
  • Elliptical distributions
  • Stable distribution
  • Time aggregation rules

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