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
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
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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
Journal: Journal of Computational and Applied Mathematics - Volume 205, Issue 1, 1 August 2007, Pages 594–607
نویسندگان
Ying Chen, Wolfgang Härdle, Vladimir Spokoiny,