Sensitivity Analysis of Values at Risk

The aim of this paper is to analyze the sensitivity of Value at Risk (VaR) with respect to portfolio allocation. We derive analytical expressions for the first and second derivatives of the Value at Risk, and explain how they can be used to simplify statistical inference and to perform a local analysis of the Value at Risk. An empirical illustration of such an analysis is given for an portfolio of French stocks.

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Year of publication:	1999-06-01
Authors:	Gouriéroux, Christian ; Laurent, J.P. ; Scaillet, Olivier
Institutions:	Institut de Recherche Économique et Sociale (IRES), École des Sciences Économiques de Louvain
Subject:	Value at Risk \| risk management \| VaR efficient portfolio \| iso VaR \| kernel estimators \| quantile

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Extent:	application/pdf
Series:	Discussion Papers (IRES - Institut de Recherches Economiques et Sociales).
Type of publication:	Book / Working Paper
Language:	English
Notes:	The text is part of a series UNIVERSITE CATHOLIQUE DE LOUVAIN, Institut de Recherches Economiques et Sociales (IRES) Number 2000002 2 pages long
Classification:	C14 - Semiparametric and Nonparametric Methods ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; G11 - Portfolio Choice ; G28 - Government Policy and Regulation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004985208