Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5056618 | Economic Systems | 2008 | 10 Pages |
Abstract
Value at Risk (VaR) forecasts have been increasingly accepted globally by both risk managers and regulators as a tool to identify and control exposure to financial market risk. However, modern portfolios are characterized by a constantly changing composition of security holdings that reflect portfolio managers' strategies, expected prices, and net cash flows into the portfolio. As a result of these factors, portfolio returns are time-varying mixtures of distributions which are unlikely to be well approximated by conventional methods.
Keywords
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Economics and Econometrics
Authors
Allan W. Gregory, Jonathan J. Reeves,