کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4642890 1341359 2007 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Portfolio value at risk based on independent component analysis
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Portfolio value at risk based on independent component analysis
چکیده انگلیسی

Risk management technology applied to high-dimensional portfolios needs simple and fast methods for calculation of value at risk (VaR). The multivariate normal framework provides a simple off-the-shelf methodology but lacks the heavy-tailed distributional properties that are observed in data. A principle component-based method (tied closely to the elliptical structure of the distribution) is therefore expected to be unsatisfactory. Here, we propose and analyze a technology that is based on independent component analysis (ICA). We study the proposed ICVaR methodology in an extensive simulation study and apply it to a high-dimensional portfolio situation. Our analysis yields very accurate VaRs.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 205, Issue 1, 1 August 2007, Pages 594–607
نویسندگان
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