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We discuss a class of risk measures for portfolio optimization with linear loss functions, where the random returns of financial instruments have a multivariate elliptical distribution. Under this setting we pay special attention to two risk measures, Value-at-Risk and Conditional-Value-at-Risk...
Persistent link: https://www.econbiz.de/10004972213
particular, we model the risk by using Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR). After reviewing the main … properties of VaR and CVaR, we present short proofs to some of the well-known results. Finally, we describe a computationally …
Persistent link: https://www.econbiz.de/10004972217
The potential for portfolio diversification is driven broadly by two characteristics: the degree to which systematic risk factors are correlated with each other and the degree of dependence individual firms have to the different types of risk factors. Using a global vector autoregressive...
Persistent link: https://www.econbiz.de/10005765811
We develop a framework for modeling conditional loss distributions through the introduction of risk factor dynamics. Asset value changes of a credit portfolio are linked to a dynamic global macroeconometric model, allowing macro effects to be isolated from idiosyncratic shocks. Default...
Persistent link: https://www.econbiz.de/10005766168