Dynamic Factor Value-at-Risk for Large Heteroskedastic Portfolios

We propose a methodology that can efficiently measure the Value-at-Risk (VaR) of large portfolios with time-varying volatilities and correlations by bringing together the established historical simulation framework and recent contributions to the Dynamic Factor Models literature. We find that the proposed methodology compares well with widely used VaR models, and is a significant improvement from a computational point of view

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Year of publication:	2012
Authors:	Aramonte, Sirio
Other Persons:	Rodriguez, Marius (contributor) ; Wu, Jason (contributor)
Publisher:	[2012]: [S.l.] : SSRN
Subject:	Portfolio-Management \| Portfolio selection \| Risikomaß \| Risk measure \| Heteroskedastizität \| Heteroscedasticity \| Theorie \| Theory \| ARCH-Modell \| ARCH model \| Faktorenanalyse \| Factor analysis

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Extent:	1 Online-Ressource (35 p)
Series:	FEDS Working Paper ; No. 2011-19
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 18, 2012 erstellt
Other identifiers:	10.2139/ssrn.1845846 [DOI]
Classification:	C1 - Econometric and Statistical Methods: General ; C22 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013114720