Are conditional Value-at-Risk models justifiable?

The recent trend in estimating Value-at-Risk for modern and increasingly complex portfolios is the introduction of conditional models accounting for the heteroscedasticity of market risk factors. In this work, the introduction of complex methodologies is justified in relation to the dynamical characteristics of portfolios, represented by the concept of entropy.

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Year of publication:	2007
Authors:	Sfetsos, A. ; Kalyvas, L.
Published in:	Applied Financial Economics Letters. - Taylor and Francis Journals, ISSN 1744-6546. - Vol. 3.2007, 2, p. 129-132
Publisher:	Taylor and Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004988250