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Sensitivity analysis of Values at Risk

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  • Gourieroux, C.
  • Laurent, J. P.
  • Scaillet, O.

Abstract

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 a portfolio of French stocks.

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File URL: http://www.sciencedirect.com/science/article/B6VFG-41T18WW-1/2/3677a040e428a49b2779dd5721c6c55c
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 7 (2000)
Issue (Month): 3-4 (November)
Pages: 225-245

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Handle: RePEc:eee:empfin:v:7:y:2000:i:3-4:p:225-245

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Web page: http://www.elsevier.com/locate/jempfin

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  1. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
  2. Christian Gollier & Pierre-François Koehl & Jean-Charles Rochet, 1996. "Risk-Taking Behavior with Limited Liability and Risk Aversion," Center for Financial Institutions Working Papers 96-13, Wharton School Center for Financial Institutions, University of Pennsylvania.
  3. Kenneth A. Froot & Jeremy C. Stein, 1996. "Risk Management, Capital Budgeting and Capital Structure Policy for Financial Institutions: An Integrated Approach," NBER Working Papers 5403, National Bureau of Economic Research, Inc.
  4. Ralph C. Kimball, 1997. "Innovations in performance measurement in banking," New England Economic Review, Federal Reserve Bank of Boston, issue May, pages 23-38.
  5. Föllmer, Hans & Leukert, Peter, 1998. "Quantile hedging," SFB 373 Discussion Papers 1998,13, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  6. repec:wop:humbsf:1998-13 is not listed on IDEAS
  7. Stoughton, Neal & Zechner, Josef, 1999. "Optimal Capital Allocation Using RAROC And EVA," CEPR Discussion Papers 2344, C.E.P.R. Discussion Papers.
  8. Gourieroux, Christian & Jasiak, Joanna, 1999. "Nonlinear innovations and impulse responses," CEPREMAP Working Papers (Couverture Orange) 9906, CEPREMAP.
  9. David F. Babbel & Anthony M. Santomero, 1997. "Risk Management by Insurers: An Analysis of the Process," Center for Financial Institutions Working Papers 96-16, Wharton School Center for Financial Institutions, University of Pennsylvania.
  10. Jansen, Dennis W. & Koedijk, Kees G. & de Vries, Casper G., 2000. "Portfolio selection with limited downside risk," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 247-269, November.
  11. Levy, Haim & Sarnat, Marshall, 1972. "Safety First — An Expected Utility Principle," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 7(03), pages 1829-1834, June.
  12. Arzac, Enrique R. & Bawa, Vijay S., 1977. "Portfolio choice and equilibrium in capital markets with safety-first investors," Journal of Financial Economics, Elsevier, vol. 4(3), pages 277-288, May.
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