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

Fabio Lamantia; Sergio Ortobelli; Svetlozar Rachev

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

Fabio Lamantia, Sergio Ortobelli, Svetlozar Rachev

Mathematics and Statistics

Research output: Contribution to journal › Article › peer-review

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 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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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.",

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AB - 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.

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KW - Elliptical distributions

KW - Stable distribution

KW - Time aggregation rules

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